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Sovereign credit ratings and financial markets linkages: application to european data
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Orientador(es)
Resumo(s)
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.
Descrição
Palavras-chave
Credit Ratings Sovereign Yields Rating Agencies
Contexto Educativo
Citação
Afonso, António; Davide Furceri and Pedro Gomes. (2012). "Sovereign credit ratings and financial markets linkages: application to european data" . Journal of International Money and Finance, Vol. 31, No. 3: pp. 606-638.
Editora
Elsevier