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Please use this identifier to cite or link to this item: http://hdl.handle.net/10400.5/3515

Title: Sovereign credit ratings and financial markets linkages: application to European data
Authors: Afonso, António
Furceri, Davide
Gomes, Pedro
Keywords: Credit ratings
Sovereign yields
Rating agencies
Issue Date: 2011
Publisher: ISEG - Departamento de Economia
Citation: Afonso, António, Davide Furceri, Pedro Gomes. 2011. "Sovereign credit ratings and financial markets linkages: application to European data". Instituto Superior de Economia e Gestão - DE Working papers nº 14-2011/DE/UECE.
Series/Report no.: DE Working papers; nº 14-2011/DE/UECE.
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 & 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 from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.
URI: http://hdl.handle.net/10400.5/3515
ISSN: 0874-4548
Appears in Collections:UECE - Documentos de Trabalho / UECE - Working Papers
DE - Documentos de trabalho / Working Papers

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