EconPapers    
Economics at your fingertips  
 

Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis

Bertrand Candelon, Amadou Sy and Rabah Arezki

No 2011/068, IMF Working Papers from International Monetary Fund

Abstract: This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.

Keywords: WP; market (search for similar items in EconPapers)
Pages: 27
Date: 2011-03-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (196)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=24757 (application/pdf)

Related works:
Working Paper: Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011) Downloads
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:imf:imfwpa:2011/068

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().

 
Page updated 2025-03-30
Handle: RePEc:imf:imfwpa:2011/068