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This article explores the impacts of sovereign rating changes by multiple rating agencies on foreign exchange rate volatility during the Asian crisis. We extend the existing literature to explore the impacts of multiple agency sovereign rating changes on the realized volatility of foreign exchange markets. Our findings show that the rating downgrades are associated with increases in foreign exchange volatility, and that multiple downgrades lead to a much higher increase in volatility as compared to single downgrades. Our results demonstrate that rating downgrades are part of the important news for the national markets consistent with the analysis of contagion analysis in Baur and Fry (2006, 2009).
