Similar Search Results

Are Rating Agencies Powerful? : An Investigation Into the Impact and Accuracy of Sovereign Ratings

Kiff, John - 2012

We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CRAs perform reasonably well when it comes to rank ordering default risk among...

Persistent link: https://www.econbiz.de/10014412163

Are rating agencies powerful? : an investigation into the impact and accuracy of sovereign ratings

Kiff, John; Nowak, Sylwia; Schumacher, Liliana - 2012

Persistent link: https://www.econbiz.de/10009423922

Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?

Cevik, Serhan; Öztürkkal, Belma - 2020

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...

Persistent link: https://www.econbiz.de/10012392655

Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Heinz, Frigyes - 2014

By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries’ sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative...

Persistent link: https://www.econbiz.de/10014394327

Sovereign CDS spreads in Europe : the role of global risk aversion, economic fundamentals, liquidity, and spillovers

Heinz, Frigyes Ferdinand; Sun, Yan - 2014

Persistent link: https://www.econbiz.de/10010389499

Sovereign rating news and financial markets spillovers : evidence from the European debt crisis

Arezki, Rabah; Candelon, Bertrand; Sy, Amadou N. R. - 2011

Persistent link: https://www.econbiz.de/10009486229

Sovereigns and financial intermediaries spillovers

Tabarraei, Hamid Reza; Rouabah, Abdelaziz; Pierrard, Olivier - 2019

We examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign's default risk affects financial intermediaries through two channels in this model. First, banks' funding costs might increase, inducing higher interest rates on...

Persistent link: https://www.econbiz.de/10012009433

Sovereign Rating News and Financial Markets Spillovers : Evidence From the European Debt Crisis

Candelon, Bertrand - 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 both across countries and financial markets. The...

Persistent link: https://www.econbiz.de/10014400977

Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece

González Hermosillo, Brenda - 2014

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to …

Persistent link: https://www.econbiz.de/10014411217

Transmission of financial stress in Europe : the pivotal role of Italy and Spain, but not Greece

González Hermosillo, Brenda; Johnson, Christian - 2014

Persistent link: https://www.econbiz.de/10010388660