Candelon, Bertrand; Sy, Amadou N. R.; Arezki, Rabah - International Monetary Fund (IMF) - 2011
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007 …-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects … announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However …