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Credit rating agency downgrades and the Eurozone sovereign debt crises
Department of Economics, Boston College, USA.
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi.ORCID-id: 0000-0003-3879-7361
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Nationalekonomi. Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Center for Family Enterprise and Ownership (CeFEO).ORCID-id: 0000-0001-5776-9396
2016 (engelsk)Inngår i: Journal of Financial Stability, ISSN 1572-3089, E-ISSN 1878-0962, Vol. 24, s. 117-131Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This paper studies the reaction of the Euro's value againstmajor currencies to sovereign rating announcements from Moody's, S&P and Fitch CRAs during the Eurozone debt crisis in 2010--2012 based on eventstudy methodology combined with GARCH models. We also analyze how theyields of French, Italian, German and Spanish government long-term bondswere affected by CRA announcements. Our results reveal that CRA downgrades, watchlist and outlook announcements had no impact on the value of the Euro currency but increased exchange rate volatility. At the same time, downgrades as well as negative outlook announcements increased the yields of French, Italian, and Spanish bonds and evenaffected the German bond's yields. This shows that the monetary union hasled to a breakdown of the consequences of the rating shocks between currency value and sovereign bond yields. The reason is that part of the rating shock is absorbed by an internal repricing of sovereign bonds.

sted, utgiver, år, opplag, sider
2016. Vol. 24, s. 117-131
Emneord [en]
Credit Rating Agencies, Euro Crisis, Sovereign Debt, Euro Exchange Rate
HSV kategori
Identifikatorer
URN: urn:nbn:se:hj:diva-29763DOI: 10.1016/j.jfs.2016.05.001ISI: 000377860900009Scopus ID: 2-s2.0-84969185832OAI: oai:DiVA.org:hj-29763DiVA, id: diva2:918802
Tilgjengelig fra: 2016-04-12 Laget: 2016-04-12 Sist oppdatert: 2018-09-05bibliografisk kontrollert

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