Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?

Hervé Alexandre (), François Guillemin () and Catherine Refait-Alexandre

Post-Print from HAL

Abstract: This paper investigates the relationship between disclosure and bank CDS spread during the sovereign debt crisis over the period 2011-2013. We cumulated the evolution of the spread of CDS on 4 different timeframes. We modeled two transparency index: one global and one specifically dedicated to sovereign exposure. We obtained significant results on the impact of targetted sovereign disclosure on the evolution of the CDS spreads, while the global index have not significant impact on the evolution of the CDS spread.

Keywords: Bank; Sovereign crisis; Disclosure; CDS (search for similar items in EconPapers)
Date: 2015-06
Note: View the original document on HAL open archive server: https://hal.science/hal-01622782v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in 32es Journées de Microéconomie Appliquée - JMA 2105, Jun 2015, Montpellier, France. pp.52

Downloads: (external link)
https://hal.science/hal-01622782v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01622782

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().