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dc.contributor.authorArezki, Rabahen
dc.contributor.authorCandelon, Bertranden
dc.contributor.authorSy, Amadouen
dc.date.accessioned2011-05-25-
dc.date.accessioned2011-06-29T11:21:15Z-
dc.date.available2011-06-29T11:21:15Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3411en
dc.subject.jelG15en
dc.subject.jelF36en
dc.subject.ddc330en
dc.subject.keywordcredit ratingsen
dc.subject.keywordnewsen
dc.subject.keywordspilloversen
dc.subject.keywordfinancial marketsen
dc.subject.stwLänderrisikoen
dc.subject.stwAnkündigungseffekten
dc.subject.stwSpillover-Effekten
dc.subject.stwFinanzmarkten
dc.subject.stwStaatsbankrotten
dc.subject.stwEU-Staatenen
dc.titleSovereign rating news and financial markets spillovers: Evidence from the European debt crisis-
dc.typeWorking Paperen
dc.identifier.ppn660173077en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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