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Sovereign Credit Ratings and Financial Markets Linkages : Application to European Data

Afonso, António - 2011

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield...

Persistent link: https://www.econbiz.de/10013124928

Sovereign Credit Ratings, Market Volatility, and Financial Gains

Afonso, António - 2014

The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor's, Moody's, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation...

Persistent link: https://www.econbiz.de/10013057674

The Euro Area Sovereign Debt Crisis : Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

De Santis, Roberto A. - 2012

from Greece. Specifically, higher risk aversion has increased the demand for the Bund and this is behind the pricing of all … key role in the developments of the spreads for Greece, Ireland, Portugal and Spain. Finally, the rating downgrade in … Greece has contributed to developments in spreads of countries with weaker fiscal fundamentals: Ireland, Portugal, Italy …

Persistent link: https://www.econbiz.de/10013111942

Understanding Sovereign Rating Movements in Euro Area Countries

Bruha, Jan - 2017

This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric estimation technique, based on a Bayesian ordered probit...

Persistent link: https://www.econbiz.de/10012963900

The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis

Beirne, John - 2014

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries' fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals – are...

Persistent link: https://www.econbiz.de/10013061742

Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

Engler, Philipp - 2015

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...

Persistent link: https://www.econbiz.de/10013016944

Sovereign Risk and Bank Risk-Taking

Ari, Anil - 2016

In European countries recently hit by a sovereign debt crisis, the share of domestic sovereign debt held by the national banking system has sharply increased, raising issues in their economic and financial resilience, as well as in policy design. This paper examines these issues by analyzing the...

Persistent link: https://www.econbiz.de/10012993780

Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area

Garcia de Andoain, Carlos; Kremer, Manfred - 2021

In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity at short-term and long-term bond maturities into a...

Persistent link: https://www.econbiz.de/10013315399

Bank Exposures and Sovereign Stress Transmission

Altavilla, Carlo; Pagano, Marco; Simonelli, Saverio - 2021

Using novel monthly data for 226 euro-area banks from 2007 to 2015, we investigate the determinants of changes in banks’ sovereign exposures and their effects during and after the euro crisis. First, the publicly owned, recently bailed out and less strongly capitalized banks reacted to...

Persistent link: https://www.econbiz.de/10013315487

Credit Rating Dynamics : Evidence from a Natural Experiment

Abidi, Nordine - 2019

This paper investigates the behaviour of credit rating agencies (CRAs) using a natural experiment in monetary policy. Speciﬁcally, we exploit the corporate QE of the Eurosystem and its rating-based speciﬁc design which generates exogenous variation in the probability for a bond of becoming...

Persistent link: https://www.econbiz.de/10012871486