Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - Department of Economics, Leicester University - 2014
During the euro-area financial crisis, interactions between sovereign spreads and credit ratings appeared to have led … to self-generating feedback loops. To examine the interaction between spreads and ratings, we estimate a simultaneous two …-equation model in which spreads and ratings are endogenous. Using a panel of 5 euro-area countries, we construct time series …