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Sovereign Ratings and Their Asymmetric Response to Fundamentals
16 references·13 citing·49 second hopsampled
Sovereign Ratings and Their Asymmetric Response to Fundamentals (2014)Sovereign Ratings and Their Asymmetric Re…From Bismarck to Beveridge: the other pension reform in Spain (2016)From Bismarck to Beveridge: t…Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects (2014)Sovereign Debt Markets in Tur…Consumption in the Shadow of Unemployment (2014)Consumption in the Shadow of …Are There Alternatives to Bankruptcy? A Study of Small Business Distress in Spain (2013)Are There Alternatives to Ban…Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers (2011)Rating agencies’ signals duri…Rating Agencies in the Face of Regulation (2011)Rating Agencies in the Face o…Short- and long-run determinants of sovereign debt credit ratings (2010)Short- and long-run determina…Leads and lags in sovereign credit ratings (2010)Leads and lags in sovereign c…Variations in sovereign credit quality assessments across rating agencies (2009)Variations in sovereign credi…Ordered response models for sovereign debt ratings† (2008)Ordered response models for s…Credit cycles and macro fundamentals (2008)Credit cycles and macro funda…Sovereign credit ratings: Guilty beyond reasonable doubt? (2005)Sovereign credit ratings: Gui…Are credit ratings procyclical? (2004)Are credit ratings procyclica…An analysis of the determinants of sovereign ratings (2004)An analysis of the determinan…An anatomy of rating through the cycle (2003)An anatomy of rating through …The estimation of transition matrices for sovereign credit ratings (2002)The estimation of transition …Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid? (2018)Pro-cyclical effect of sovere…Measuring Financial Fragmentation in the Euro Area Corporate Bond Market (2018)Measuring Financial Fragmenta…Sovereign Credit Ratings in Developing Economies: New Empirical Assessment (2016)Sovereign Credit Ratings in D…Fiscal Policy and the Cycle in Latin America: The Role of Financing Conditions and Fiscal Rules (2016)Fiscal Policy and the Cycle i…What Drives Bank-Intermediated Trade Finance? Evidence from Cross-Country Analysis (2015)What Drives Bank-Intermediate…The Unbearable Divergence of Unemployment in Europe (2015)The Unbearable Divergence of …Securitization and Asset Prices. (2015)Securitization and Asset Pric…Long-Lasting Consequences of the European Crisis (2015)Long-Lasting Consequences of …Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation (2015)Higher-Order Risk Preferences…Financial Innovation in Sovereign Borrowing and Public Provision of Liquidity (2015)Financial Innovation in Sover…Demographic Structure and Macroeconomic Trends (2015)Demographic Structure and Mac…Contract Staggering and Unemployment During the Great Recession: Evidence from Spain (2015)Contract Staggering and Unemp…Flight-to-Liquidity Flows in the Euro Area Sovereign Debt Crisis (2014)Flight-to-Liquidity Flows in …The Determinants of Banking Crises in Developing and Developed Countries (1998)What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment? (1998)Stability of rating transitions (2000)Public finances in EMU (2011)What “Hides” Behind Sovereign Debt Ratings? (2015)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)Determinants and Impact of Sovereign Credit Ratings (2007)The impact of sovereign rating actions on bank ratings in emerging markets (2012)The Home Bias in Sovereign Ratings (2017)The effect of bond rating changes on common stock prices (1986)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Determinants and Impact of Sovereign Credit Ratings (1996)The impact of macroeconomic announcements on emerging market bonds (2007)Sovereign credit ratings and financial markets linkages: Application to European data (2012)On the Pooling of Time Series and Cross Section Data (1978)Econometric Analysis of Cross Section and Panel Data (2001)Fiscal Policy under Low Interest Rates (2023)Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness (2023)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Multi-period corporate default prediction with stochastic covariates (2006)Macroeconomic Fluctuations and Corporate Financial Fragility (2011)Forecasting distress in European SME portfolios (2016)Corporate distress prediction in China: a machine learning approach (2018)A Markov Model for the Term Structure of Credit Risk Spreads (1997)The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)How Well Do Social Ratings Actually Measure Corporate Social Responsibility? (2007)Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011)The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal (2012)Optimal contracts and competitive markets with costly state verification (1979)Financial Intermediation and Delegated Monitoring (1984)Why new issues are underpriced (1986)Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing (2014)Impact of the Dodd-Frank act on credit ratings (2014)Good disclosure, bad disclosure (2018)Risk measurement when shares are subject to infrequent trading (1979)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Towards a Macroprudential Framework for Financial Supervision and Regulation? (2003)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)An Overview of Macroprudential Policy Tools (2015)The theory and practice of corporate finance: evidence from the field (2001)MBS Ratings and the Mortgage Credit Boom (2010)Structural Shifts in Credit Rating Standards (2011)The Econometrics of Financial Markets (2012)Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach (2013)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2004Are credit ratings procyclical?402 cited
  • 2011Rating Agencies in the Face of Regulation386 cited
  • 2010Short- and long-run determinants of sovereign debt credit ratings312 cited
  • 2005Sovereign credit ratings: Guilty beyond reasonable doubt?250 cited
  • 2003An anatomy of rating through the cycle227 cited
  • 2004An analysis of the determinants of sovereign ratings188 cited
  • 2002The estimation of transition matrices for sovereign credit ratings170 cited
  • 2009Variations in sovereign credit quality assessments across rating agencies165 cited
  • 2010Leads and lags in sovereign credit ratings140 cited
  • 2008Credit cycles and macro fundamentals126 cited
  • 2014Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects120 cited
  • 2011Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers103 cited
  • 2013Are There Alternatives to Bankruptcy? A Study of Small Business Distress in Spain92 cited
  • 2014Consumption in the Shadow of Unemployment90 cited
  • 2008Ordered response models for sovereign debt ratings†88 cited

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2016
From Bismarck to Beveridge: the other pension reform in Spain
83 cited

Cited by

  • 2015Contract Staggering and Unemployment During the Great Recession: Evidence from Spain98 cited
  • 2015Demographic Structure and Macroeconomic Trends98 cited
  • 2016Fiscal Policy and the Cycle in Latin America: The Role of Financing Conditions and Fiscal Rules94 cited
  • 2015The Unbearable Divergence of Unemployment in Europe76 cited
  • 2014Flight-to-Liquidity Flows in the Euro Area Sovereign Debt Crisis56 cited
  • 2015Financial Innovation in Sovereign Borrowing and Public Provision of Liquidity52 cited
  • 2015What Drives Bank-Intermediated Trade Finance? Evidence from Cross-Country Analysis50 cited
  • 2015Higher-Order Risk Preferences, Constant Relative Risk Aversion and the Optimal Portfolio Allocation49 cited
  • 2015Securitization and Asset Prices.48 cited
  • 2018Measuring Financial Fragmentation in the Euro Area Corporate Bond Market45 cited
  • 2018Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?42 cited
  • 2016Sovereign Credit Ratings in Developing Economies: New Empirical Assessment31 cited
  • 2015Long-Lasting Consequences of the European Crisis30 cited