Thanks to an analysis of structural changes in abnormal spread series, we stress specific investors' reactions to rating actions. These reactions are much more usual when the issues are in sterlings than in euros. When reacting in the euro area, investors mainly react after banks' and public...

We examine effects of sovereign risk on bond duration in European and Latin American sovereign bond markets over the period 1996-2011. We compare the sovereign risk-adjusted duration for U.S. dollar-denominated sovereign bonds with their Macaulay duration for both investment- and...