Impact of Sovereign Ratings Changes on European Sovereign Yield Spreads
|Author:||Mgr. Veronika Vyskočilová|
|Year:||2012 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:|
|Abstract:||The spreading sovereign debt crisis in the Euro zone has renewed the debate about impact
of credit rating agencies on financial markets. This thesis aims to explore the role played by the
leading credit rating agencies by analysing the interaction between changes in sovereign ratings
announced and the yield spreads of sovereign bonds, especially the short term impact and the
potential contagion effect of rating changes on the highly integrated Euro zone financial market.
The conducted event study and panel regression indicate that there is a significant impact of
rating downgrades and negative rating outlooks on sovereign bond markets. Moreover, we have
found significant contagion effect spreading from downgraded countries to non-event Euro zone
members, namely not only to sovereign bond markets, but also to stock markets.
|Downloadable:|| DT Vyskočilová