Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/231292
Authors: 
Fornari, Fabio
Zaghini, Andrea
Year of Publication: 
2021
Series/Report no.: 
CFS Working Paper Series No. 652
Abstract: 
Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we doc- ument the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after a sovereign rating downgrade. We find that after the delivery of the downgrade, corporate CDS spreads rise by 36% per annum and there is a widespread contagion across coun- tries, in particular among those which were most exposed to the sovereign debt crisis. This effect exists on top of the standard relation between sovereign and corporate credit risk.
Subjects: 
sovereign rating
corporate credit risk
CDS spreads
JEL: 
G15
G32
G38
Document Type: 
Working Paper

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