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Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis
Gibson, Heather D.; Hall, Stephen G.; Tavlas, George S. - In: Journal of international money and finance 73 (2017), pp. 371-385
Persistent link: https://www.econbiz.de/10011787743
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Self-Fulfilling Dynamics : The Interactions of Sovereign Spreads, Sovereign Ratings and Bank Ratings During the Euro Financial Crisis
Tavlas, G. S.; Gibson, Heather D.; Hall, Stephen G. - 2022
, we consider a panel of five euro-area stressed countries within a three-equation simultaneous system in which sovereign …
Persistent link: https://www.econbiz.de/10013492640
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Is there a bias in sovereign ratings due to financial reasons?
Doluca, Hasan - In: The empirical economics letters : a monthly … 13 (2014) 7, pp. 801-814
Persistent link: https://www.econbiz.de/10010520412
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Rating sovereign debt in a monetary union : original sin by transnational governance
Marten Körner, Finn; Trautwein, Hans-Michael - In: Journal of risk finance : the convergence of financial … 16 (2015) 3, pp. 253-283
Persistent link: https://www.econbiz.de/10011418177
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The power of opinion : more evidence of a GIPS-markup in sovereign ratings during the euro crisis
Nauhaus, Steffen - 2015
previously asserted. On the basis of panel data methods for a set of 11 EMU countries, the analysis reveals significant evidence …
Persistent link: https://www.econbiz.de/10011317827
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The euro area sovereign debt crisis : safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal
De Santis, Roberto A. - 2012
Persistent link: https://www.econbiz.de/10009765237
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What if credit rating agencies were downgraded? : ratings, sovereign debt and financial market volatility
Masciandaro, Donato - In: Intereconomics : review of European economic policy 46 (2011) 5, pp. 254-258
Persistent link: https://www.econbiz.de/10009692254
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Understanding urated bond issuance
Arakelyan, Armen; Duca, Eric; Salvador, Carlos - 2016
Persistent link: https://www.econbiz.de/10011547425
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What If Credit Rating Agencies Were Downgraded? Ratings, Sovereign Debt and Financial Market Volatility
Masciandaro, Donato - 2011
The activity of Credit Rating Agencies (CRAs) can lead to Excessive Volatility Risk (EVR), adversely affecting issuances of debt by sovereign governments. By EVR, we mean the risk of effects on bond yields, caused by ratings which are independent from the supply of new information (information...
Persistent link: https://www.econbiz.de/10013120702
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Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis
Baum, Christopher F. - 2013
This paper studies the impact of credit rating agency (CRA) 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...
Persistent link: https://www.econbiz.de/10013073134