Sovereign credit ratings and financial markets linkages: application to european data

Detalhes bibliográficos
Autor(a) principal: Afonso, António
Data de Publicação: 2011
Outros Autores: Furceri, Davide, Gomes, Pedro
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/3515
Resumo: 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.
id RCAP_018b8dd969dd0186fc4d64677b81367a
oai_identifier_str oai:www.repository.utl.pt:10400.5/3515
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Sovereign credit ratings and financial markets linkages: application to european dataCredit RatingsSovereign YieldsRating AgenciesWe 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.UECE – Research Unit on Complexity and Economics. UECE is supported by FCT (Fundação para a Ciência e a Tecnologia, Portugal)ISEG - Departamento de EconomiaRepositório da Universidade de LisboaAfonso, AntónioFurceri, DavideGomes, Pedro2011-08-26T10:47:43Z20112011-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/3515engAfonso, 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.0874-4548info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:34:37Zoai:www.repository.utl.pt:10400.5/3515Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:51:22.021817Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Sovereign credit ratings and financial markets linkages: application to european data
title Sovereign credit ratings and financial markets linkages: application to european data
spellingShingle Sovereign credit ratings and financial markets linkages: application to european data
Afonso, António
Credit Ratings
Sovereign Yields
Rating Agencies
title_short Sovereign credit ratings and financial markets linkages: application to european data
title_full Sovereign credit ratings and financial markets linkages: application to european data
title_fullStr Sovereign credit ratings and financial markets linkages: application to european data
title_full_unstemmed Sovereign credit ratings and financial markets linkages: application to european data
title_sort Sovereign credit ratings and financial markets linkages: application to european data
author Afonso, António
author_facet Afonso, António
Furceri, Davide
Gomes, Pedro
author_role author
author2 Furceri, Davide
Gomes, Pedro
author2_role author
author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Afonso, António
Furceri, Davide
Gomes, Pedro
dc.subject.por.fl_str_mv Credit Ratings
Sovereign Yields
Rating Agencies
topic Credit Ratings
Sovereign Yields
Rating Agencies
description 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.
publishDate 2011
dc.date.none.fl_str_mv 2011-08-26T10:47:43Z
2011
2011-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/3515
url http://hdl.handle.net/10400.5/3515
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 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.
0874-4548
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - Departamento de Economia
publisher.none.fl_str_mv ISEG - Departamento de Economia
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799130989326237696

Registros relacionados