Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/231292 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
CFS Working Paper Series No. 652
Verlag: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
sovereign rating
corporate credit risk
CDS spreads
JEL: 
G15
G32
G38
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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