Output spillovers from changes in sovereign credit ratings
Shu-Ling Yang and
Journal of International Money and Finance, 2016, vol. 63, issue C, 48-63
This research examines how a sovereign rating revision of one country influences the economic growth rates of other countries. Rating revisions have significant output spillover effects: A one-notch upgrade (downgrade) prompts on average a significant downward revision of about 0.03% (0.07%) in the consensus forecast of annual economic growth rates of other countries in the two-month period after the event. The spillovers are transmitted through direct and indirect trade and financial linkages between event and non-event countries. The evidence indicates that a predominance of differential (common) spillovers leads upgrades (downgrades) to produce adverse output effects for other countries.
Keywords: Sovereign credit rating revision; Output spillover; Economic growth (search for similar items in EconPapers)
JEL-codes: F34 F62 G24 H63 O47 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:63:y:2016:i:c:p:48-63
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