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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Detalhes bibliográficos
Autor principal: Candelon, Bertrand
Outros Autores: Arezki, Rabah, Sy, Amadou
Formato: Periódico
Idioma:English
Publicado em: Washington, D.C. : International Monetary Fund, 2011.
Colecção:IMF Working Papers; Working Paper ; No. 2011/068
Acesso em linha:Full text available on IMF