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Sovereign credit ratings and financial markets linkages
Afonso, António; Furceri, Davide; Gomes, Pedro - 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/10009640836
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Sovereign credit ratings and financial markets linkages: application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - ISEG - School of Economics and Management, Department … - 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/10009207362
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Sovereign credit ratings and financial markets linkages: Application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - In: Journal of International Money and Finance 31 (2012) 3, pp. 606-638
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/10011048514
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Sovereign credit ratings and financial markets linkages: application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - European Central Bank - 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/10009643617
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Sovereign credit ratings and financial markets linkages: application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - 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/10011605393
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Sovereign credit ratings and financial markets linkages : application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - 2011
Persistent link: https://www.econbiz.de/10011564852
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Sovereign credit ratings and financial markets linkages : application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - In: Journal of international money and finance 31 (2012) 3, pp. 606-638
Persistent link: https://www.econbiz.de/10009632012
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Sovereign credit ratings and financial markets linkages : application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - 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/10009160019
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Sovereign credit ratings and financial markets linkages: Application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - In: Journal of international money and finance 31 (2012) 3, pp. 606-639
Persistent link: https://www.econbiz.de/10009836173
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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