Baum, Christopher F; Karpava, Margarita; Schäfer, Dorothea - Narodowy Bank Polski - 2014
This paper studies of credit rating agency (CRA) downgrade 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...