Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/217676 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Central Banking Theory and Practice [ISSN:] 2336-9205 [Volume:] 8 [Issue:] 2 [Publisher:] De Gruyter Open [Place:] Warsaw [Year:] 2019 [Pages:] 85-100
Publisher: 
De Gruyter Open, Warsaw
Abstract: 
The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&P: there are some negative price effects as well on mixed-type rating change effects, such as ‘rating watch’ announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.
Subjects: 
Sovereign Debt
Sovereign Credit Rating
Credit Rating Agency (CRA)
Event Study
JEL: 
H63
E58
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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