Sovereign Rating News and Financial Markets Spillovers : Evidence From the European Debt Crisis

Evidence From the European Debt Crisis

Sovereign Rating News and Financial Markets Spillovers : Evidence From the European Debt Crisis
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both READ MORE...

Publication date: March 2011
ISBN 9781455227112
$18.00

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