6533b835fe1ef96bd129f699
RESEARCH PRODUCT
Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data
António AfonsoAntónio AfonsoPedro GomesDavide FurceriDavide Furcerisubject
Economics and EconometricsCredit rating spreadsYield (finance)Financial marketEvent studyemsSettore SECS-P/02 Politica EconomicaMonetary economicscredit ratings; sovereign yields; rating agencies. Classification-C23; E44; G15.Credit ratingSpillover effectSovereign YieldsCarry (investment)credit ratings rating agencies sovereign yieldsEconomicsGovernment bondSovereign creditCredit Ratingsrating sovereing spreadsRating AgenciesFinancedescription
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements. Announcements are not anticipated at 1–2 months horizon but there is bi-directional causality between ratings and spreads within 1–2 weeks; spillover effects especially among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries. info:eu-repo/semantics/publishedVersion
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2012-04-01 | SSRN Electronic Journal |