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ISSN: 2450-7733     eISSN: 2300-4096    OAI    DOI: 10.18276/sip.2016.44/3-12
CC BY-SA   Open Access   CEEOL

Issue archive / nr 44/3 2016
RATING KRAJU A KURSY WALUTOWE
(Country’s credit rating and exchange rates)

Authors: Patrycja Chodnicka-Jaworska
Uniwersytet Warszawski
Keywords: credit rating exchange rates event study
Data publikacji całości:2016
Page range:12 (87-98)
Klasyfikacja JEL: G14 G15 G20 G24
Cited-by (Crossref) ?:

Abstract

In the paper it has been analysed the impact of the country’s credit rating on the its exchange rates. Therefore, it has been prepared a literature review of literature and put the hypothesis: Changing of the country’s credit rating significantly influence on the changes in foreign exchange rates at the time of their announcement, both the increases and decreases of rating notes. To verify the hypothesis it has been used the event study method. As a dependent variables were used the percentage changes of the exchange rates, while as an independent variables were used the changes of the long-term issuer credit ratings published by S&P and Moody’s for the years 2000–2015. To the research there were used daily data collected from the Thomson Reuters database for European countries.
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