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dc.creatorBallester Miquel, Lauraes_ES
dc.creatorGonzález Urteaga, Anaes_ES
dc.date.accessioned2021-10-22T10:33:27Z
dc.date.available2021-10-22T10:33:27Z
dc.date.issued2015
dc.identifier.issn1988-1118
dc.identifier.urihttps://hdl.handle.net/2454/40785
dc.description.abstractWe 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.extent25 p.
dc.format.mimetypeapplication/pdfen
dc.language.isoengen
dc.publisherUniversidad de Castilla La Manchaes_ES
dc.relation.ispartofDocumentos de Trabajo. Seminario Permanente de Ciencias Sociales (10), 4-0es_ES
dc.rights© Universidad de Castilla-La Mancha. Facultad de Ciencias Sociales de Cuencaen
dc.subjectCDS spreadsen
dc.subjectCredit ratings,emerging marketsen
dc.subjectSpillover effectsen
dc.subjectGVARen
dc.titleAn empirical investigation of the effect of credit ratings on sovereign credit risken
dc.typeDocumento de trabajo / Lan gaiakes
dc.typeinfo:eu-repo/semantics/workingPaperen
dc.contributor.departmentUniversidad Pública de Navarra. Departamento de Gestión de Empresases_ES
dc.contributor.departmentNafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Sailaeu
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessen
dc.rights.accessRightsAcceso abierto / Sarbide irekiaes
dc.type.versioninfo:eu-repo/semantics/publishedVersionen
dc.type.versionVersión publicada / Argitaratu den bertsioaes


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