Sovereign credit ratings and financial markets linkages: application to european data
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spre...
| Main Author: | |
|---|---|
| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2022
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10400.5/25602 |
| Country: | Portugal |
| Oai: | oai:www.repository.utl.pt:10400.5/25602 |