| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w19125 |
| 来源ID | Working Paper 19125 |
| Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis | |
| Joshua Aizenman; Mahir Binici; Michael M. Hutchison | |
| 发表日期 | 2013-06-13 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically important and highly statistically significant in panel models even after controlling for a host of domestic and global fundamental factors and investigating various functional forms, time and country groupings and dynamic structures. Dynamic panel model estimates indicate that a credit rating upgrade decreases CDS spreads by about 45 basis points, on average, for EU countries. However, the association between credit rating changes and spreads shifted markedly between the pre-crisis and crisis periods. European countries had quite similar CDS responses to credit rating changes during the pre-crisis period, but that large differences emerged during the crisis period between the now highly-sensitive GIIPS group and other European country groupings (EU and Euro Area excluding GIIPS, and the non-EU area). We also find a complicated non-linear pattern dependent on the level of the credit rating. The results are robust to the including credit "outlook" or "watch" signals by credit rating agencies. In addition, contagion from rating downgrades in GIIPS to other euro countries is not evident once own-country credit rating changes are taken into account. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Institutions ; Public Economics ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w19125 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576800 |
| 推荐引用方式 GB/T 7714 | Joshua Aizenman,Mahir Binici,Michael M. Hutchison. Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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