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

Bibliographic Details
Main Author: Afonso, António
Publication Date: 2012
Other Authors: Furceri, Davide, Gomes, Pedro
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10400.5/25602
Summary: 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.
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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 among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.ElsevierRepositório da Universidade de LisboaAfonso, AntónioFurceri, DavideGomes, Pedro2022-09-27T17:56:48Z20122012-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25602engAfonso, 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. 606-638.0261-560610.1016/j.jimonfin.2012.01.016info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-03-17T16:23:55Zoai:repositorio.ulisboa.pt:10400.5/25602Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T04:12:37.573348Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
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 among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.
publishDate 2012
dc.date.none.fl_str_mv 2012
2012-01-01T00:00:00Z
2022-09-27T17:56:48Z
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/10400.5/25602
url http://hdl.handle.net/10400.5/25602
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 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.
0261-5606
10.1016/j.jimonfin.2012.01.016
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 Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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