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The impact of sovereign credit ratings on foreign exchange rate returns in Africa
This study investigates the impact of sovereign credit ratings on foreign exchange rate returns for a sample of 27 African countries over the period 2003–2018 to examine the response of the exchange rates around the time of sovereign rating announcements. The data consist of longterm foreign currenc...
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| Format: | Thesis |
| Language: | English |
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Graduate School of Business (GSB)
2021
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| _version_ | 1867613263305375744 |
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| access_status_str | Open Access |
| author | Savadye, Laswet |
| author2 | Gossel, Sean |
| author_browse | Gossel, Sean Savadye, Laswet |
| author_facet | Gossel, Sean Savadye, Laswet |
| author_sort | Savadye, Laswet |
| collection | Thesis |
| description | This study investigates the impact of sovereign credit ratings on foreign exchange rate returns for a sample of 27 African countries over the period 2003–2018 to examine the response of the exchange rates around the time of sovereign rating announcements. The data consist of longterm foreign currency sovereign ratings, outlooks, watch lists and daily exchange rates. The study applies a combination of an event study methodology using both univariate and multivariate analyses and the Granger causality tests in a panel framework as well as impulse response tests. The results suggest that, in Africa, exchange rates do not react significantly to changes in sovereign credit rating announcements. No significant evidence of contagion was found. It is thus implied that foreign exchange rates do not react significantly to new information from credit rating agencies which shows a disjoint between macro-economic fundamental performance and financial markets. African countries are encouraged to focus on stabilising their currencies, as well as attending to macro-economic fundamentals that will result in improved credit ratings. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/33955 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:33:21.255Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | Graduate School of Business (GSB) |
| publisherStr | Graduate School of Business (GSB) |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/33955 The impact of sovereign credit ratings on foreign exchange rate returns in Africa Savadye, Laswet Gossel, Sean Development Finance This study investigates the impact of sovereign credit ratings on foreign exchange rate returns for a sample of 27 African countries over the period 2003–2018 to examine the response of the exchange rates around the time of sovereign rating announcements. The data consist of longterm foreign currency sovereign ratings, outlooks, watch lists and daily exchange rates. The study applies a combination of an event study methodology using both univariate and multivariate analyses and the Granger causality tests in a panel framework as well as impulse response tests. The results suggest that, in Africa, exchange rates do not react significantly to changes in sovereign credit rating announcements. No significant evidence of contagion was found. It is thus implied that foreign exchange rates do not react significantly to new information from credit rating agencies which shows a disjoint between macro-economic fundamental performance and financial markets. African countries are encouraged to focus on stabilising their currencies, as well as attending to macro-economic fundamentals that will result in improved credit ratings. 2021-09-16T10:55:01Z 2021-09-16T10:55:01Z 2020 2021-09-16T09:32:15Z Master Thesis Masters MBA http://hdl.handle.net/11427/33955 eng application/pdf Graduate School of Business (GSB) Faculty of Commerce |
| spellingShingle | Development Finance Savadye, Laswet The impact of sovereign credit ratings on foreign exchange rate returns in Africa |
| thesis_degree_str | Master's |
| title | The impact of sovereign credit ratings on foreign exchange rate returns in Africa |
| title_full | The impact of sovereign credit ratings on foreign exchange rate returns in Africa |
| title_fullStr | The impact of sovereign credit ratings on foreign exchange rate returns in Africa |
| title_full_unstemmed | The impact of sovereign credit ratings on foreign exchange rate returns in Africa |
| title_short | The impact of sovereign credit ratings on foreign exchange rate returns in Africa |
| title_sort | impact of sovereign credit ratings on foreign exchange rate returns in africa |
| topic | Development Finance |
| url | http://hdl.handle.net/11427/33955 |
| work_keys_str_mv | AT savadyelaswet theimpactofsovereigncreditratingsonforeignexchangeratereturnsinafrica AT savadyelaswet impactofsovereigncreditratingsonforeignexchangeratereturnsinafrica |