Sökning: id:"swepub:oai:DiVA.org:hj-29333" >
Credit Rating Agenc...
Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
-
- Baum, Christopher F. (författare)
- Boston College
-
- Karpava, Margarita (författare)
- MediaCom London
-
- Schäfer, Dorothea (författare)
- Jönköping University,IHH, Nationalekonomi,DIW Berlin
-
visa fler...
-
- Stephan, Andreas (författare)
- Jönköping University,IHH, Nationalekonomi,IHH, Centre for Family Entrepreneurship and Ownership (CeFEO),DIW Berlin
-
visa färre...
-
(creator_code:org_t)
- Berlin : DIW, 2014
- Engelska 34 s.
-
Serie: Discussion Papers of DIW Berlin, 1619-4535 ; 1333
- Relaterad länk:
-
https://dh.hj.se/DH_...
-
visa fler...
-
https://urn.kb.se/re...
-
visa färre...
Abstract
Ämnesord
Stäng
- This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German bond’s yields, although Germany’s rating status was never touched by CRA. There is no evidence for Granger causality from bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries, out of ailing states’ debt into more stable borrowers’ securities.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Credit Rating Agencies
- Euro Crisis
- Sovereign Debt
- Euro Exchange Rate
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)