González Urteaga, Ana

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https://academica-e.unavarra.es/handle/2454/49191

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González Urteaga

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Ana

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-8256-8518

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88772

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810168

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2016 - 201912020 - 20211
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Start date: 2016 × Subject: Credit ratings ×

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Now showing 1 - 2 of 2
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    PublicationOpen Access
    Do sovereign ratings cause instability in cross-border emerging CDS markets?
    (Elsevier, 2021) Ballester Miquel, Laura; González Urteaga, Ana; Institute for Advanced Research in Business and Economics - INARBE
    We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which is also negatively affected by upgrades in Asia) and Middle East, the latter transmitting in turn to Asia with the same competitive effect. However, some spillover effects are also found both at the portfolio and intra-portfolio levels. The ones associated with downgrades are especially sensitive. In these cases, we identify the particular emerging economies that contribute to an increase in financial instability and to regional spillover effects.
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    PublicationOpen Access
    How credit ratings affect sovereign credit risk: cross-border evidence in Latin American emerging markets
    (Elsevier, 2016) Ballester Miquel, Laura; González Urteaga, Ana; Gestión de Empresas; Enpresen Kudeaketa
    This article builds upon previous literature by providing a better understanding of how contagion changes in bordering sovereign CDS emerging markets resulting from credit rating events. To that end, we follow the novel GVAR methodology using data from six Latin American emerging countries during an extensive sample period from 2004 to 2014. Our findings show evidence for the existence of significant and asymmetric cross-border effects. In particular, a competition effect is observed before the event occurs, indicating that non-event countries suffer (benefit) from upgrades (downgrades) in Brazil, Mexico and Chile (in Argentina and Brazil). In contrast, an imitation effect is observed after rating upgrades in Chile, to the benefit of bordering non-event countries.