منابع مشابه
Determinants and Impact of Sovereign Credit Ratings
n recent years, the demand for sovereign credit rat-ings—the risk assessments assigned by the credit rating agencies to the obligations of central govern-ments—has increased dramatically. More governments with greater default risk and more companies domiciled in riskier host countries are borrowing in international bond markets. Although foreign government officials generally cooperate with the...
متن کاملThe Real Effects of Credit Ratings: The Sovereign Ceiling Channel∗
We show that sovereign debt impairments can have a significant impact on financial markets and real economies through a credit ratings channel. Specifically, we find that firms reduce their investment and reliance on credit markets due to a rising cost of debt capital following a sovereign rating downgrade. We identify these effects by exploiting exogenous variation on corporate ratings due to ...
متن کاملSovereign credit ratings, market volatility, and financial gains
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock ...
متن کاملDo Sovereign Credit Ratings Affect the Composition and Maturity of Sovereign Borrowing?
In this paper, I develop a theoretical model to analyze the optimal choice between bank loans and bond finance for a sovereign debtor. The model describes a market that is subject to moral hazard and adverse selection. I model the choice between the two debt instruments allowing for debt renegotiation in the event of financial distress, with the possibility of default. The model incorporates pr...
متن کاملSovereign Credit Risk Measures
This paper focuses on sovereign credit risk meaning a hot topic related to the current Eurozone crisis. In the light of the recent financial crisis, market perception of the creditworthiness of individual sovereigns has changed significantly. Before the outbreak of the financial crisis, market participants did not differentiate between credit risk born by individual states despite different lev...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2018
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2017.12.014