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• W2024296903 abstract "This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011‐2012. The employed GARCH models show that CRA downgrade announcements negatively aected the value of the Euro currency and also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German bond’s yields, although Germany’s rating status was never touched by CRA. There is no evidence for Granger causality from bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries, out of ailing states’ debt into more stable borrowers’ securities." @default.
• W2024296903 created "2016-06-24" @default.
• W2024296903 creator A5012396102 @default.
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• W2024296903 date "2013-11-04" @default.
• W2024296903 modified "2023-09-27" @default.
• W2024296903 title "Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises" @default.
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