An empirical investigation of the effect of credit ratings on sovereign credit risk

Ballester Miquel, Laura; González Urteaga, Ana

Publication:
An empirical investigation of the effect of credit ratings on sovereign credit risk

dc.contributor.author	Ballester Miquel, Laura
dc.contributor.author	González Urteaga, Ana
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.department	Enpresen Kudeaketa	eu
dc.date.accessioned	2021-10-22T10:33:27Z
dc.date.available	2021-10-22T10:33:27Z
dc.date.issued	2015
dc.description.abstract	We investigate the cross-border spillover effects of credit rating events for sovereign CDS Latin American emerging economies during 2004-2014. The article extends the previous literature measuring the effect in terms of change in contagion, which we quantify using the novel GVAR methodology. We find that CDS of boarding markets anticipate both positive and to a greater extent negative events that occurs in a given country. Alternatively, only upgrades display a significant spillover effect the days after the event. Therefore, CDS already reflect the information before the positive or negative rating announcement occurs. However, only upgrades contain new information that have a significant impact on the CDS markets of other sovereigns.	en
dc.format.extent	25 p.
dc.format.mimetype	application/pdf	en
dc.identifier.issn	1988-1118
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/40785
dc.language.iso	eng	en
dc.publisher	Universidad de Castilla La Mancha	es_ES
dc.relation.ispartof	Documentos de Trabajo. Seminario Permanente de Ciencias Sociales (10), 4-0	es_ES
dc.rights	© Universidad de Castilla-La Mancha. Facultad de Ciencias Sociales de Cuenca	en
dc.rights.accessRights	info:eu-repo/semantics/openAccess	en
dc.rights.accessRights	Acceso abierto / Sarbide irekia	es
dc.subject	CDS spreads	en
dc.subject	Credit ratings,emerging markets	en
dc.subject	Spillover effects	en
dc.subject	GVAR	en
dc.title	An empirical investigation of the effect of credit ratings on sovereign credit risk	en
dc.type	Documento de trabajo / Lan gaiak	es
dc.type	info:eu-repo/semantics/workingPaper	en
dc.type.version	info:eu-repo/semantics/publishedVersion	en
dc.type.version	Versión publicada / Argitaratu den bertsioa	es
dspace.entity.type	Publication
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relation.isAuthorOfPublication.latestForDiscovery	095d724d-61c5-408c-b091-6ea37e9beb6b