Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (preliminary draft)
Mardi | 2010-12-14 B103 Rabah AREZKI – Bertrand Candelon – Amadou SY – libre This paper examines the spillover effects of sovereign rating news across countries and financial markets using daily data on sovereign credit default swaps (CDS) spreads, stock market indices and sub-indices for banking and insurance for selected European countries during the period […]