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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Další autoři: | , |
Médium: | Časopis |
Jazyk: | English |
Vydáno: |
Washington, D.C. :
International Monetary Fund,
2011.
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Edice: | IMF Working Papers; Working Paper ;
No. 2011/068 |
On-line přístup: | Full text available on IMF |