The Price Impact of Sovereign Rating Announcements

Albert Metz and Merxe Tudela

Chapter 15 in Emerging Markets and Sovereign Risk, 2015, pp 275-292 from Palgrave Macmillan

Abstract: Abstract The impact of credit ratings on financial markets has gathered new interest in the wake of the European sovereign debt crisis. Some have suggested that credit rating agencies (CRAs) amplify contagious effects and create additional financial instability,1 a charge which of course is at odds with another frequent complaint that rating agencies respond too slowly to new information and lag markets.2 The current crisis has prompted some calls to limit the freedom of action of CRAs at least in the sovereign markets.3

Keywords: Credit Risk; Excess Return; Credit Default Swap; Event Window; Credit Spread (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1057/9781137450661_15

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