Ismailescu, Iuliana; Kazemi, Hossein - In: Journal of Banking & Finance 34 (2010) 12, pp. 2861-2873
This paper examines the effect of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. We find that positive events have a greater impact on CDS markets in the two-day period surrounding the...