Afonso, António; Furceri, Davide; Gomes, Pedro - 2011
countries; and persistence effects for recently downgraded countries. - Credit ratings ; sovereign yields ; rating agencies …We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of …-directional causality between ratings and spreads within 1-2 weeks; spillover effects especially from lower rated countries to higher rated …