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Sovereign credit ratings and financial markets linkages: Application to European data · Study

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Sovereign credit ratings and financial markets linkages: Application to European data

Davide Furceri, António Afonso

2012-01-01articleNova Science Publishers (Nova Science Publishers, Inc.)375 citationsclosed

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Credit Risk and Financial Regulations Global Financial Crisis and Policies Financial Risk and Volatility Modeling

Abstract

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Citations in this library

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References

2012The Econometrics of Financial Markets

1997The Econometrics of Financial Markets

2011How Sovereign Is Sovereign Credit Risk?

2004The relationship between credit default swap spreads, bond yields, and credit rating announcements

2006Good News and Bad News: Asymmetric Responses to Economic Information

2004Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements

2007Good and bad credit contagion: Evidence from credit default swaps☆

2006An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market

Cited by

2012Contagion During the Greek Sovereign Debt Crisis

2012The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

2014Credit Default Swaps: A Survey

2016Economic policy uncertainty and risk spillovers in the Eurozone

2013The euro area sovereign debt crisis: Identifying flight-to-liquidity and the spillover mechanisms

2023Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness

2012Fiscal space and sovereign risk pricing in a currency union

2011Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers

Details

Year2012

Typearticle

VenueNova Science Publishers (Nova Science Publishers, Inc.)

Languageen

Files0 public / 0

Identifiers

doi10.1016/j.jimonfin.2012.01.016

openalex_workW3125838767

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