2013
DOI: 10.1093/oxrep/grt036 View full text |Buy / Rent full text
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Abstract: This 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, the associa… Show more

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