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Credit ratings and bond spreads of the GIIPS

Tim de Vries and Jakob de Haan ()

DNB Working Papers from Netherlands Central Bank, Research Department

Abstract: We examine the relationship between credit ratings and bond yield spreads of peripheral countries in the euro area (Greece, Ireland, Italy, Portugal and Spain) for the period 1995-2014. Since 2012, bond spreads of those countries have come down very fast, whereas credit ratings have hardly changed. Our results suggest that credit rating agencies have become more cautious and have changed their approach to assess credit risk of sovereigns, and that the impact of sovereign credit risk ratings on sovereign bond spreads has changed.

Keywords: Credit ratings; bond yield spreads; euro crisis, GIIPS (search for similar items in EconPapers)
JEL-codes: E44 E47 G15 G24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2014-07
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Journal Article: Credit ratings and bond spreads of the GIIPS (2016) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:dnb:dnbwpp:432

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