Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/269147 
Year of Publication: 
2022
Series/Report no.: 
ECB Working Paper No. 2740
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document 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 countries, 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: 
Credit Default Swaps
Credit Rating
Sovereign Risk Spillover
JEL: 
C21
G12
G14
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-5388-7
Document Type: 
Working Paper

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