Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153781
Authors: 
Afonso, António
Furceri, Davide
Gomes, Pedro
Year of Publication: 
2011
Series/Report no.: 
ECB Working Paper 1347
Abstract: 
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 from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.
Subjects: 
credit ratings
rating agencies
sovereign yields
JEL: 
C23
E44
G15
Document Type: 
Working Paper

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