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 a...

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Hlavní autor: Candelon, Bertrand
Další autoři: Arezki, Rabah, Sy, Amadou
Médium: Časopis
Jazyk:English
Vydáno: Washington, D.C. : International Monetary Fund, 2011.
Edice:IMF Working Papers; Working Paper ; No. 2011/068
On-line přístup:Full text available on IMF