Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153781 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
ECB Working Paper No. 1347
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
credit ratings
rating agencies
sovereign yields
JEL: 
C23
E44
G15
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.61 MB





Publikationen in EconStor sind urheberrechtlich geschützt.