کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9550475 | 1372235 | 2005 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modelling country spillover effects in country risk ratings
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
In times of uncertainty, the risks associated with engaging in international operations have increased substantially. Moreover, such risks have become more difficult to analyse and predict for decision makers in the international financial community. Country risk reflects the ability and willingness of a country to service its foreign financial obligations. Such risk may be prompted by country-specific and regional economic, financial, political and composite factors. The paper provides a novel analysis of four risk ratings using multivariate conditional volatility models for six countries, namely Albania, Bulgaria, Greece, Romania, Serbia and Montenegro, and Turkey, situated in the Balkan Peninsula. These ratings are compiled by the International Country Risk Guide, the only risk rating agency to provide consistent monthly data for a large number of countries since 1984. The empirical results show that these models are able to capture the dynamics in the conditional variance and the country spillover effects in the country risk ratings.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Emerging Markets Review - Volume 6, Issue 4, December 2005, Pages 324-345
Journal: Emerging Markets Review - Volume 6, Issue 4, December 2005, Pages 324-345
نویسندگان
Suhejla Hoti,