Sovereign risk evaluation for European Union countries

Christos Agiakloglou and Emmanouil Deligiannakis

Journal of International Money and Finance, 2020, vol. 103, issue C

Abstract: This study investigates the short run and the long run relationship between government bond yields and their associated credit default swaps (CDS), using co-integration and Granger causality techniques, for eight major European Union countries, over three different periods, considering the global financial and the resultant European debt crises. Moreover, this study tries to explore the interactions between changes in sovereign debt ratings and the corresponding credit premiums as an effort to examine the role of top credit rating agencies in defining CDS prices and as an attempt to illuminate the importance of the announcement date based on an event study.

Keywords: Sovereign bond yield; Credit default swap; Credit rating; European debt crisis; Granger causality; Co-integration; Event study (search for similar items in EconPapers)
JEL-codes: C1 C2 F3 G1 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306175

DOI: 10.1016/j.jimonfin.2019.102117

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