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dc.contributor.authorArezki, Rabahen_US
dc.contributor.authorCandelon, Bertranden_US
dc.contributor.authorSy, Amadouen_US
dc.date.accessioned2011-05-25en_US
dc.date.accessioned2011-06-29T11:21:15Z-
dc.date.available2011-06-29T11:21:15Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/46555-
dc.description.abstractThis paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects. Rating-based triggers may help explain these results.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper: Monetary Policy and International Finance 3411en_US
dc.subject.jelG15en_US
dc.subject.jelF36en_US
dc.subject.ddc330en_US
dc.subject.keywordcredit ratingsen_US
dc.subject.keywordnewsen_US
dc.subject.keywordspilloversen_US
dc.subject.keywordfinancial marketsen_US
dc.subject.stwLänderrisikoen_US
dc.subject.stwAnkündigungseffekten_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwFinanzmarkten_US
dc.subject.stwStaatsbankrotten_US
dc.subject.stwEU-Staatenen_US
dc.titleSovereign rating news and financial markets spillovers: Evidence from the European debt crisisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn660173077en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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