Böninghausen, Benjamin; Zabel, Michael - In: Journal of International Money and Finance 53 (2015) C, pp. 115-136
This paper studies spillovers across sovereign debt markets in the wake of sovereign rating changes. We compile an … extensive dataset covering all announcements by the three major agencies (Standard & Poor's, Moody's, Fitch) and daily sovereign … in ratings against reactions to all other, more major changes. We also control for the environment in which an …