Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - Ratioinstitutet - 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade...