Credit ratings and cross-border bond market spillovers

Benjamin Böninghausen and Michael Zabel

No 1831, Working Paper Series from European Central Bank

Abstract: This paper studies spillovers across sovereign debt markets in the wake of sovereign rating changes. We compile an extensive dataset covering all announcements by the three major agencies (Standard & Poor JEL Classification: G15, F36

Keywords: credit rating agencies; cross-border spillover effects; international financial integration; Sovereign debt market (search for similar items in EconPapers)
Date: 2015-07
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Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20151831

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