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Title:Sovereign rating news and financial markets spillovers: Evidence from the European debt crisis PDF Logo
Authors:Arezki, Rabah
Candelon, Bertrand
Sy, Amadou
Issue Date:2011
Series/Report no.:CESifo working paper: Monetary Policy and International Finance 3411
Abstract:This 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.
Subjects:credit ratings
news
spillovers
financial markets
JEL:G15
F36
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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