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The reaction of emerging market credit default swap spreads to sovereign credit rating changes

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References

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2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
1992The Effect of Bond Rating Agency Announcements on Bond and Stock Prices1,002 cited
1996Contagious Currency Crises959 cited
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1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
2004Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements655 cited
2001The Long‐Run Stock Returns Following Bond Ratings Changes607 cited
2007Good and bad credit contagion: Evidence from credit default swaps☆588 cited
1999Contagion and trade574 cited
2009Credit Contagion from Counterparty Risk448 cited
2007Emerging markets’ spreads and global financial conditions392 cited
2005News spillovers in the sovereign debt market378 cited
2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS328 cited

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1999

Boom and Bust and Sovereign Ratings

290 cited

Cited by

2014Credit Default Swaps: A Survey219 cited
2012Emerging markets research: Trends, issues and future directions192 cited
2014The Empirical Analysis of Liquidity144 cited
2013The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms142 cited
2013The impact of credit rating announcements on credit default swap spreads130 cited
2012The impact of sovereign rating actions on bank ratings in emerging markets106 cited
2012Fiscal space and sovereign risk pricing in a currency union106 cited
2012Sovereign credit ratings and financial markets linkages: Application to European data103 cited
2015The relation between sovereign credit rating revisions and economic growth92 cited
2018Trade Linkages and Firm Value: Evidence from the 2018 US-China 'Trade War'88 cited
2021Two decades of contagion effect on stock markets: Which events are more contagious?84 cited
2015The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China80 cited
2012Sovereign Credit Default Swap Premia77 cited
2017Spillover Effects Within Business Groups: The Case of Korean Chaebols76 cited
2016Credit rating agency downgrades and the Eurozone sovereign debt crises73 cited
2019Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads71 cited