This paper provides new evidence on the determinants of foreign currency sovereign ratings. It examines the systematic differences between credit rating agencies regarding both the factors included in the sovereign rating process and the weightings attached to these factors, as well as the...

We examine the statistical determinants of transfer risk using probit estimation and an estensive data set of over 300 sovereign ratings given by the leading rating agencies between 1992-1997.

Trading volume and order flow have both been closely associated with informed trader activity in the market microstructure literature. Using theory that explains regular intraday patterns in trading data, we transform these two variables into proxies for private information and examine their...

From Prof Steve Thomas and Mr Richard A. Werner.Sir, Mervyn King deserves praise for recognising that things could turn ugly when the housing bubble bursts ("King links rises in rates to fears on house prices", July 1). But is his recommended plan of action suitable - namely to raise interest...

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While...