AbstractThis paper identifies the impact of credit rating changes on the sovereign spreads in Europe 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, significant economically, and robust even after controlling for conventional fundamentals. A one unit rise in the average credit rating (in a scale index of 25 ratings) decreases CDS spreads by about 45 basis points, on average. However, th…
scite is a Brooklyn-based startup that helps researchers better discover and evaluate scientific articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by researchers from dozens of countries and is funded in part by the National Science Foundation and the National Institute of Drug Abuse of the National Institutes of Health.