Sovereign credit ratings and financial markets linkages: Application to European data

Davide Furceri, Davide Furceri, Pedro Gomes, António Afonso

Risultato della ricerca: Articlepeer review

152 Citazioni (Scopus)

Abstract

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 and 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.
Lingua originaleEnglish
pagine (da-a)606-638
Numero di pagine33
RivistaJournal of International Money and Finance
Volume31
Stato di pubblicazionePublished - 2012

All Science Journal Classification (ASJC) codes

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