Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes

Nicholas Apergis ()

International Review of Financial Analysis, 2015, vol. 39, issue C, 54-62

Abstract: The paper examines the role of newswire messages during the European debt crisis. In particular, this study quantifies how this news metric, revealed by statements electronically recorded, as well as by newspaper articles, affects credit ratings. Through a sample of three European countries with sovereign debt problems and under strict austerity programmes, i.e., Greece, Ireland, and Portugal, daily data spanning the period of 2009 to 2011, and parametric, nonparametric and ordered probit panel methodologies, the obtained results document that the news variable significantly affects credit ratings, particularly when news comes from market sources but less so when the news is from politicians.

Keywords: Newswire messages; Credit ratings; European countries; Sovereign debt problems (search for similar items in EconPapers)
JEL-codes: C33 H63 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:39:y:2015:i:c:p:54-62

DOI: 10.1016/j.irfa.2015.01.003

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