Credit Rating Agency Announcements And The Eurozone Sovereign Debt Crisis
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Credit Rating Agency Announcements And The Eurozone Sovereign Debt Crisis
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Author : Christopher F. Baum
language : en
Publisher:
Release Date : 2013
Credit Rating Agency Announcements And The Eurozone Sovereign Debt Crisis written by Christopher F. Baum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Sovereign Rating News And Financial Markets Spillovers
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Author : Mr.Rabah Arezki
language : en
Publisher: International Monetary Fund
Release Date : 2011-03-01
Sovereign Rating News And Financial Markets Spillovers written by Mr.Rabah Arezki and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-01 with Business & Economics categories.
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originates. However, we also find evidence that downgrades to near speculative grade ratings for relatively large economies such as Greece have a systematic spillover effects across Euro zone countries. Rating-based triggers used in banking regulation, CDS contracts, and investment mandates may help explain these results.
Credit Rating Agency Announcements And The Eurozone Sovereign Debt Crises
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Author :
language : en
Publisher:
Release Date : 2013
Credit Rating Agency Announcements And The Eurozone Sovereign Debt Crises written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Credit Rating Agency Downgrades And The Eurozone Sovereign Debt Crises
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Author : Christopher F. Baum
language : en
Publisher:
Release Date : 2016
Credit Rating Agency Downgrades And The Eurozone Sovereign Debt Crises written by Christopher F. Baum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading increased the yelds of French, Italian and Spanish bonds but lowered the German's bond yields, although the Germany's rating status was never touched by CRA. There is no evidence for Granger causality from bond yields to rating announcements. We infer from this findings that CRA announcements significantly influenced crisis-time capital allocation in Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries, out of ailing states' debt into more stable borrowers' securities.
A Century Of Sovereign Ratings
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Author : Norbert Gaillard
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-09-21
A Century Of Sovereign Ratings written by Norbert Gaillard and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-09-21 with Business & Economics categories.
The financial difficulties experienced by Greece since 2009 serve as a reminder that countries (i.e., sovereigns) may default on their debt. Many observers considered the financial turmoil was behind us because major advanced countries had adopted stimulus packages to prevent banks from going bankrupt. However, there are rising doubts about the creditworthiness of several advanced countries that participated in the bailouts. In this uncertain context, it is particularly crucial to be knowledgeable about sovereign ratings. This book provides the necessary broad overview, which will be of interest to both economists and investors alike. Chapter 1 presents the main issues that are addressed in this book. Chapters 2, 3, and 4 provide the key notions to understand sovereign ratings. Chapter 2 presents an overview of sovereign rating activity since the first such ratings were assigned in 1918. Chapter 3 analyzes the meaning of sovereign ratings and the significance of rating scales; it also describes the refinement of credit rating policies and tools. Chapter 4 focuses on the sovereign rating process. Chapters 5 and 6 open the black box of sovereign ratings. Chapter 5 compares sovereign rating methodologies in the interwar years with those in the modern era. After examining how rating agencies have amended their methodologies since the 1990s, Chapter 6 scrutinizes rating disagreements between credit rating agencies (CRAs). Chapters 7 and 8 measure the performances of sovereign ratings by computing default rates and accuracy ratios: Chapter 7 looks at the interwar years and Chapter 8 at the modern era. The two chapters assess which CRA assigns the most accurate ratings during the respective periods. Chapters 9 and 10 compare the perception of sovereign risk by the CRAs and market participants. Chapter 9 focuses on the relation between JP Morgan Emerging Markets Bond Index Global spreads and emerging countries’ sovereign ratings for the period 1993–2007. Chapter 10 compares the eurozone members’ sovereign ratings with Credit Default Swap-Implied Ratings (CDS-IRs) during the Greek debt crisis of November 2009–May 2010.
Resolving The European Debt Crisis
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Author : William R. Cline
language : en
Publisher: Peterson Institute
Release Date : 2012-03-15
Resolving The European Debt Crisis written by William R. Cline and has been published by Peterson Institute this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-15 with Business & Economics categories.
What began as a relatively localized crisis in Greece in early 2010 soon escalated to envelop Ireland and Portugal. By the second half of 2011, the contagion had spread to the far larger economies of Italy and Spain. In mid-September the Peterson Institute and Bruegel hosted a conference designed to contribute to the formulation of policies that could help resolve the euro area debt crisis. This volume presents the conference papers; several are updated through end-2011. European experts examine the political context in Greece (Loukas Tsoukalis), Ireland (Alan Ahearne), Portugal (Pedro Lourtie), Spain (Guillermo de la Dehesa), Italy (Riccardo Perissich), Germany (Daniela Schwarzer), and France (Zaki La�di). Lessons from past debt restructurings are then examined by Jeromin Zettelmeyer (economic) and Lee Buchheit (legal). The two editors separately consider the main current policy issues: debt sustainability by country, private sector involvement and contagion, alternative restructuring approaches, how to assemble a large emergency financing capacity, whether the European Central Bank (ECB) should be a lender of last resort, whether joint-liability "eurobonds" would be feasible and desirable, and the implications of a possible break-up of the euro area. The luncheon address by George Soros and a description (by Steven R. Weisman with Silvia B. Merler) of the policy simulation game played on the second day of the conference complete the volume. Involving market participants and experts representing the roles of euro area governments, the ECB, IMF, G-7, and credit rating agencies, the game led to a proposal for leveraging the capacity of the European Financial Stability Facility through arrangements with the ECB.
European Versus Anglo Saxon Credit View
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Author : Marc Altdörfer
language : en
Publisher:
Release Date : 2018
European Versus Anglo Saxon Credit View written by Marc Altdörfer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We analyze whether different intensities of country ties to Europe affected the assignment of sovereign credit ratings during the Eurozone sovereign crisis. We find that Fitch, the rating agency among the “Big Three” with significantly stronger ties to Europe, was more reluctant than its two more US-tied peers to downgrade Eurozone countries during the crisis. The rating actions of Fitch were, however, largely ignored by the bond market. Our results thus cast doubt on the benefits of an often-suggested independent European credit rating agency.
Credit Rating Agencies On The Watch List
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Author : Raquel García Alcubilla
language : en
Publisher: OUP Oxford
Release Date : 2012-03-29
Credit Rating Agencies On The Watch List written by Raquel García Alcubilla and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-03-29 with Business & Economics categories.
Credit rating agencies have been criticized for their role in the financial crisis by understating credit risk. The US subprime mortgage crisis highlighted the systemic relevance of the rating agencies and the deficiencies in their activities; this led to an international consensus to regulate the rating business. Written by those involved in developing European Legislation, this book explains EU Regulation in the context of global initiatives undertaken by the G-20, the Financial Stability Board, and IOSCO to address failures within the rating industry. Through an in-depth analysis of the EU Regulation's requirements on governance, conflicts of interest, methodologies, and transparency, the book provides a clear explanation of how rating agencies operate and how the identified failures have been addressed. Moreover, it examines the supervisory and enforcement powers of ESMA, the EU authority in charge of the registration and oversight of rating agencies. This is complemented with an analysis of guidance from supervisors (ESMA and EBA), IOSCO's recommendations, and US legislation. The book discusses possible new regulatory developments in areas such as the agencies' business model, competition, civil liability, and ratings of sovereign debt, in light of the Euro debt sovereign crisis. It concludes with the authors' support for an enhanced regulatory and oversight coordination at international level and for the implementation of the necessary steps to reduce the existing over-reliance on ratings.
Credit Ratings And The Pricing Of Sovereign Debt During The Euro Crisis
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Author : Joshua Aizenman
language : en
Publisher:
Release Date : 2013
Credit Ratings And The Pricing Of Sovereign Debt During The Euro Crisis written by Joshua Aizenman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Economics categories.
This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically important and highly statistically significant in panel models even after controlling for a host of domestic and global fundamental factors and investigating various functional forms, time and country groupings and dynamic structures. Dynamic panel model estimates indicate that a credit rating upgrade decreases CDS spreads by about 45 basis points, on average, for EU countries. However, the association between credit rating changes and spreads shifted markedly between the pre-crisis and crisis periods. European countries had quite similar CDS responses to credit rating changes during the pre-crisis period, but that large differences emerged during the crisis period between the now highly-sensitive GIIPS group and other European country groupings (EU and Euro Area excluding GIIPS, and the non-EU area). We also find a complicated non-linear pattern dependent on the level of the credit rating. The results are robust to the including credit "outlook" or "watch" signals by credit rating agencies. In addition, contagion from rating downgrades in GIIPS to other euro countries is not evident once own-country credit rating changes are taken into account.
Are Credit Rating Agencies Powerful
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Author : Jean-David Herld
language : en
Publisher:
Release Date : 2013
Are Credit Rating Agencies Powerful written by Jean-David Herld and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.