**Table 2: Quarterly sample of 26 emerging and frontier market economies: 1998-2017**

|||**S**|**&P ratin**<br>Std.<br>|**gs**<br>|||**Relativ**<br>Std.<br>|**e ratings**<br>||
|---|---|---|---|---|---|---|---|---|---|
||Obs.|Mean|dev.|Min.|Max.|Mean|dev.|Min.|Max.|
|Botswana*|45|43.35|1.45|42|45|18.64|2.95|15.04|25.84|
|Brazil|77|27.64|5.33|20|36|-8.73|3.04|-15.53|-4.56|
|Bulgaria*|70|30.82|5.96|19|39|7.36|5.61|-6.55|13.50|
|Chile|56|47.96|2.63|43|51|10.16|1.45|8.00|13.59|
|China|77|44.30|6.06|36|51|12.86|2.70|8.23|16.61|
|Colombia|62|30.68|3.76|26|36|-6.10|2.04|-9.22|-2.64|
|Croatia*|65|32.00|3.50|26|36|8.51|5.14|-0.92|16.42|
|Czech Republic|76|45.69|3.88|42|51|10.57|3.24|5.08|17.57|
|Ecuador*|63|14.49|3.60|4|21|-9.72|3.85|-19.84|-4.61|
|North Macedonia*|51|26.64|2.32|24|30|1.63|2.77|-3.12|7.95|
|Hungary|70|35.48|5.67|26|42|0.53|10.55|-15.08|13.54|
|India|68|30.73|2.70|26|33|-6.22|2.65|-9.87|1.51|
|Indonesia|72|23.31|7.70|4|33|-13.11|3.32|-26.08|-6.79|
|Jordan*|77|25.13|1.66|21|27|1.24|3.17|-4.17|7.91|
|Kazakhstan*|46|35.11|2.63|32|39|10.70|2.83|6.43|16.59|
|Mexico|47|37.36|1.34|36|39|-2.03|1.91|-5.09|1.41|
|Morocco*|56|31.13|2.08|27|33|7.11|1.62|3.47|9.70|
|Peru|55|33.66|4.98|24|39|-4.62|2.45|-8.24|-0.51|
|Philippines|76|28.96|4.21|23|36|-6.37|6.19|-15.27|4.04|
|Poland|69|40.40|1.76|37|43|4.26|4.02|-2.38|12.80|
|Russian Federation|56|33.70|3.63|27|40|-4.74|4.41|-12.74|2.73|
|South Africa|73|35.17|3.02|30|39|0.13|4.67|-8.47|6.56|
|Korea, Rep.|72|44.55|4.86|34|54|9.28|2.77|4.53|15.27|
|Thailand|76|37.00|2.73|32|39|1.78|3.18|-2.03|7.14|
|Turkey|61|25.09|4.05|14|30|-12.78|2.07|-16.22|-4.84|
|Ukraine*|61|17.47|5.41|2|24|-6.99|6.65|-26.07|1.21|

*Frontier market economy based on MSCI, S&P and Dow-Jones classifications.

Note: S&P ratings were converted to numeric ratings as described in the text and Table 1. A higher number indicates a better rating. See text for computation of relative ratings for the group of EMs and FMs. The sample includes the quarterly observations used in the baseline estimation in Table 3 for the 1998-2017 period.

All our country-specific controls are also at a quarterly frequency. These include GDP growth differentials and interest rate differentials for our sample of EMs and FMs relative to the average GDP growth of the advanced market economies. These country-level control variables are similar to those used by Ahmed and Zlate (2014) in their study of EM quarterly capital flows.<sup>9</sup> Global factors include an indicator for risk (VIX index) in the baseline specification, and subsequently, an additional variable for the US quantitative easing (QE) episodes. Details of the variables used in the analysis at quarterly frequency are provided in Appendix Table A.1.

> 9 Capital controls are often used as an additional explanatory variable for capital flows in the literature (e.g., Fratzscher, 2012; Ahmed and Zlate, 2014). However, it is possible that controls themselves may be imposed in response to increased flows by policy-makers interested in maintaining financial stability (Ostry et al., 2011; Ghosh and Qureshi, 2016), which can give rise to a positive or insignificant relationship between capital controls and flows instead of a negative relationship. For instance, Forbes and Warnock (2012) find no significant relationship between capital controls and a country’s likelihood of experiencing a surge or stop in capital flows. Given the potential endogeneity of capital controls to capital flows, we do not include it in the specifications presented in this paper. Our main results for sovereign ratings and relative risk ratings, however, are robust to the inclusion of the Chinn-Ito index of capital controls (Chinn and Ito, 2008). These additional robustness results are available from the authors upon request.

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