Purpose

Relative risk ratings measure the degree by which a country’s sovereign rating is better or worse than other countries (Basu et al., 2013). However, the literature on the impacts of sovereign ratings on capital flows has not covered the role of relative risk ratings. This paper aims to examine the effect of relative risk ratings on private capital flows to emerging and frontier market economies is filled. In the analysis, the effect of relative risk ratings to that of absolute sovereign ratings in influencing private capital flows are compared.

Design/methodology/approach

This paper examines the influence of sovereign credit ratings and relative risk ratings on private capital flows to 26 emerging and frontier market economies using quarterly data for a 20-year period between 1998 and 2017. A dynamic panel regression model is used to estimate the relationship between ratings and capital flows after controlling for other factors that can influence capital flows such as growth and interest rate differentials and global risk conditions.

Findings

The analysis finds that while absolute sovereign credit ratings were an important determinant of net capital inflows prior to the global financial crisis in 2008, the influence of relative risk ratings increased in the post-crisis period. The post-crisis effect of relative ratings appears to be driven mostly by portfolio flows. The main results are robust to an alternate measure of capital flows (gross capital flows instead of net capital flows), to the use of fixed gross domestic product weights in calculating relative risk ratings and to the potential endogeneity of absolute and relative ratings.

Originality/value

This study advances the literature on being the first attempt to understand the impact of relative risk ratings on capital flows and also comparing the impact of absolute sovereign ratings and relative risk ratings on capital flows in the pre- and post-global financial crisis periods. The findings imply that emerging and frontier markets need to pay greater attention to their relative economic performance and not just their sovereign ratings.

中文翻译：

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主权信用评级、相对风险评级和私人资本流动：来自新兴市场和前沿市场的证据

目的

相对风险评级衡量一个国家的主权评级优于或低于其他国家的程度（Basu等，2013）。然而，关于主权评级对资本流动影响的文献并未涵盖相对风险评级的作用。本文旨在研究相对风险评级对私人资本流入新兴和前沿市场经济体的影响。在分析中，比较了相对风险评级与绝对主权评级对影响私人资本流动的影响。

设计/方法/方法

本文使用 1998 年至 2017 年 20 年间的季度数据，研究了主权信用评级和相对风险评级对私人资本流入 26 个新兴和前沿市场经济体的影响。在控制了可能影响资本流动的其他因素（如增长和利率差异以及全球风险状况）之后，评级和资本流动。

发现

分析发现，虽然在 2008 年全球金融危机之前，绝对主权信用评级是资本净流入的重要决定因素，但相对风险评级的影响在危机后时期有所增加。相对评级的危机后效应似乎主要是由投资组合流动驱动的。主要结果对于资本流动的替代衡量标准（总资本流动而不是净资本流动）、在计算相对风险评级中使用固定的国内生产总值权重以及绝对和相对评级的潜在内生性都是稳健的。

原创性/价值

本研究首次尝试了解相对风险评级对资本流动的影响，并比较绝对主权评级和相对风险评级对全球金融危机前后时期资本流动的影响。调查结果表明，新兴市场和前沿市场需要更加关注它们的相对经济表现，而不仅仅是它们的主权评级。