Nothing Special   »   [go: up one dir, main page]
create a website
Credit Ratings and Cross-Border Bond Market Spillovers. (2013). Boninghausen, Benjamin ; Zabel, Michael .
In: Discussion Papers in Economics.
RePEc:lmu:muenec:21075.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 44

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Afonso, A., D. Furceri, and P. Gomes (2012): “Sovereign credit ratings and financial markets linkages: Application to European data,” Journal of International Money and Finance, 31, 606–638.

  2. Alsakka, R. and O. ap Gwilym (2012): “Foreign exchange market reactions to sovereign credit news,” Journal of International Money and Finance, 31, 845–864.

  3. Altman, E. I. and H. A. Rijken (2004): “How Rating Agencies Achieve Rating Stability, ” Journal of Banking & Finance, 28, 2679–2714.

  4. Aviat, A. and N. Coeurdacier (2007): “The geography of trade in goods and asset holdings,” Journal of International Economics, 71, 22–51.

  5. Baker, H. K. and S. A. Mansi (2002): “Assessing Credit Rating Agencies,” Journal of Business Finance & Accounting, 29, 1367–1398.
    Paper not yet in RePEc: Add citation now

  6. Bond Ratings,” Working Paper, NYU Salomon Center. Arezki, R., B. Candelon, and A. N. R. Sy (2011): “Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis,” IMF Working Paper Series 11/68.

  7. Boot, A. W. A., T. A. Milbourn, and A. Schmeits (2006): “Credit Ratings as Coordination Mechanisms,” Review of Financial Studies, 19, 81–118.

  8. Brealey, R. A. and E. C. Kaplanis (1996): “The determination of foreign banking location,” Journal of International Money and Finance, 15, 577–597.

  9. Brooks, R., R. W. Faff, D. Hillier, and J. Hillier (2004): “The national market impact of sovereign rating changes,” Journal of Banking & Finance, 28, 233–250.

  10. Cantor, R. (2001): “Moody’s investors service response to the consultative paper issued by the Basel Committee on Bank Supervision ”A new capital adequacy framework”,” Journal of Banking & Finance, 25, 171–185.

  11. Cantor, R. and C. Mann (2003): “Measuring the Performance of Corporate Bond Ratings,” Special comment, Moody’s Investors Service, New York.
    Paper not yet in RePEc: Add citation now

  12. Cantor, R. and F. Packer (1996): “Determinants and impact of sovereign credit ratings, ” Economic Policy Review, 37–53.

  13. Chinn, M. D. and H. Ito (2006): “What matters for financial development? Capital controls, institutions, and interactions,” Journal of Development Economics, 81, 163–192.

  14. Christopher, R., S.-J. Kim, and E. Wu (2012): “Do sovereign credit ratings influence regional stock and bond market interdependencies in emerging countries?” Journal of International Financial Markets, Institutions and Money, 22, 1070–1089.

  15. De Santis, R. A. (2012): “The euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal,” Working Paper No. 1419, European Central Bank.

  16. Ferreira, M. A. and P. M. Gama (2007): “Does sovereign debt ratings news spill over to international stock markets?” Journal of Banking & Finance, 31, 3162–3182.

  17. Financial Risks, 1–45. ——— (2010): Global Financial Stability Report, October 2010, chap. The Uses and Abuses of Sovereign Credit Ratings, 85–122.
    Paper not yet in RePEc: Add citation now
  18. Financial Times (2010): “German MPs claim Greece needs e120bn,” 28 April 2010.
    Paper not yet in RePEc: Add citation now

  19. Frankel, J. A., C. A. Vegh, and G. Vuletin (2013): “On graduation from fiscal procyclicality,” Journal of Development Economics, 100, 32–47.

  20. Fratzscher, M. (2012): “Capital flows, push versus pull factors and the global financial crisis,” Journal of International Financial Economics, 88, 341–356.

  21. Gande, A. and D. C. Parsley (2005): “News spillovers in the sovereign debt market,” Journal of Financial Economics, 75, 691–734.

  22. Garc ıa-Herrero, A. and A. Ort ız (2006): “The Role of Global Risk Aversion in Explaining Sovereign Spreads,” Econom ıa, 7, 125–155.
    Paper not yet in RePEc: Add citation now

  23. Goldberg, L. G. and A. Saunders (1980): “The Causes of U.S. Bank Expansion Overseas: The Case of Great Britain,” Journal of Money, Credit and Banking, 12, 630– 643.

  24. Goldstein, M. (1998): The Asian Crisis: Causes, Cures, and Systemic Implications, Washington, D.C.: Institute for International Economics.
    Paper not yet in RePEc: Add citation now

  25. Hale, G. B. and M. M. Spiegel (2012): “Currency composition of international bonds: The EMU effect,” Journal of International Economics, 88, 134–149.

  26. Hand, J. R. M., R. W. Holthausen, and R. W. Leftwich (1992): “The Effect of Bond Rating Agency Announcements on Bond and Stock Prices,” Journal of Finance, 47, 733–752.

  27. Hill, P. and R. Faff (2010): “The Market Impact of Relative Agency Activity in the Sovereign Ratings Market,” Journal of Business Finance & Accounting, 37, 1309–1347.

  28. Holthausen, R. W. and R. W. Leftwich (1986): “The Effect of Bond Rating Changes on Common Stock Prices,” Journal of Financial Economics, 62, 57–89.

  29. Hooper, V., T. Hume, and S.-J. Kim (2008): “Sovereign rating changes–Do they provide new information for stock markets?” Economic Systems, 32, 142–166.

  30. International Monetary Fund (2004): Global Financial Stability Report, September 2004, chap. Global Financial Market Developments, 8–80.
    Paper not yet in RePEc: Add citation now

  31. Ismailescu, I. and H. Kazemi (2010): “The reaction of emerging market credit default swap spreads to sovereign credit rating changes,” Journal of Banking & Finance, 34, 2861–2873.

  32. JP Morgan (1999): “Introducing the J.P. Morgan Emerging Markets Bond Index Global (EMBI Global),” August.
    Paper not yet in RePEc: Add citation now

  33. Kaminsky, G. and S. L. Schmukler (2002): “Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?” World Bank Economic Review, 16, 171–195.

  34. Kaminsky, G. L. and S. L. Schmukler (1999): “What Triggers Market Jitters? - A Chronicle of the Asian Crisis,” Journal of International Money and Finance, 18, 537–60.

  35. L offler, G. (2005): “Avoiding the Rating Bounce: Why Rating Agencies are Slow to React to New Information,” Journal of Economic Behavior and Organization, 56, 365– 381.
    Paper not yet in RePEc: Add citation now

  36. Larra ın, G., H. Reisen, and J. von Maltzan (1997): “Emerging Market Risk and Sovereign Credit Ratings,” OECD Development Centre Working Papers 124, OECD Publishing.

  37. Liu, P., J. S. Jones, and J. Y. Gu (2011): “Do Credit Rating Agencies Sacrifice Timeliness by Pursuing Rating Stability? Evidence from Equity Market Reactions to CreditWatch Events,” Paper presented at the 2011 EFMA Annual Meeting, Braga (Portugal) .
    Paper not yet in RePEc: Add citation now

  38. MacKinlay, A. C. (1997): “Event Studies in Economics and Finance,” Journal of Economic Literature, 35, 13–39.

  39. Masson, P. (1998): “Contagion: Monsoonal Effects, Spillovers, and Jumps Between Multiple Equilibria,” IMF Working Paper Series 98/142.

  40. Norden, L. and M. Weber (2004): “Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements,” Journal of Banking & Finance, 28, 2813–2843.

  41. Reisen, H. and J. von Maltzan (1999): “Boom and Bust in Sovereign Ratings,” International Finance, 2, 273–293.

  42. Steiner, M. and V. G. Heinke (2001): “Event Study Concerning International Bond Price Effects of Credit Rating Actions,” International Journal of Finance and Economics, 6, 139–157.

  43. Sy, A. (2004): “Rating the rating agencies: Anticipating currency crises or debt crises?” Journal of Banking & Finance, 28, 2845–2867.

  44. Wall Street Journal (2012): “Moody’s Poised to Decide on Spain,” 28 September 2012.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Do Financial Markets Reward Government Spending Efficiency?. (2021). Jalles, Joao ; Afonso, Antonio ; Venancio, Ana.
    In: Working Papers REM.
    RePEc:ise:remwps:wp01662021.

    Full description at Econpapers || Download paper

  2. Do Financial Markets Reward Government Spending Efficiency?. (2021). Jalles, Joao ; Afonso, Antonio ; Venancio, Ana.
    In: Working Papers.
    RePEc:inf:wpaper:2021.01.

    Full description at Econpapers || Download paper

  3. The joint dynamics of sovereign ratings and government bond yields. (2016). von Schweinitz, Gregor ; El-Shagi, Makram.
    In: Discussion Papers.
    RePEc:zbw:bubdps:132016.

    Full description at Econpapers || Download paper

  4. Regularities and Discrepancies of Credit Default Swaps: a Data Science approach through Benfords Law. (2016). Cerqueti, Roy ; Castellano, Rosella ; ausloos, marcel.
    In: Papers.
    RePEc:arx:papers:1603.01103.

    Full description at Econpapers || Download paper

  5. Volatility Transmission and Dynamic Correlation Analysis between Developed and Emerging European Stock Markets during Sovereign Debt Crisis. (2015). Tuna, Gulcay ; Bein, murad.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2015:i:2:p:61-80.

    Full description at Econpapers || Download paper

  6. The Determinants of Economic Fragility: Case of the Fragile Five Countries. (2015). dogru, bulent ; Unver, Mustafa .
    In: MPRA Paper.
    RePEc:pra:mprapa:68734.

    Full description at Econpapers || Download paper

  7. Deciphering financial contagion in the euro area during the crisis. (2015). Waelti, Sébastien ; Tola, Albi ; Walti, Sebastien .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:55:y:2015:i:c:p:108-123.

    Full description at Econpapers || Download paper

  8. The credit signals that matter most for sovereign bond spreads with split rating. (2015). ap Gwilym, Owain ; Alsakka, Rasha ; Vu, Huong.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:53:y:2015:i:c:p:174-191.

    Full description at Econpapers || Download paper

  9. Macroannouncements, bond auctions and rating actions in the European government bond spreads. (2015). Urga, Giovanni ; Boffelli, Simona .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:53:y:2015:i:c:p:148-173.

    Full description at Econpapers || Download paper

  10. Credit ratings and cross-border bond market spillovers. (2015). Boninghausen, Benjamin ; Zabel, Michael .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:53:y:2015:i:c:p:115-136.

    Full description at Econpapers || Download paper

  11. The adverse effects of systematic leakage ahead of official sovereign debt rating announcements. (2015). Nishiotis, George ; Milidonis, Andreas ; Michaelides, Alexander ; Papakyriakou, Panayiotis .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:116:y:2015:i:3:p:526-547.

    Full description at Econpapers || Download paper

  12. Does sovereign creditworthiness affect bank valuations in emerging markets?. (2015). Williams, Gwion ; ap Gwilym, Owain ; Alsakka, Rasha.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:36:y:2015:i:c:p:113-129.

    Full description at Econpapers || Download paper

  13. The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China. (2015). Wu, Eliza ; Kim, Suk-Joong ; Salem, Leith .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:18:y:2015:i:c:p:208-224.

    Full description at Econpapers || Download paper

  14. Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes. (2015). Apergis, Nicholas.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:39:y:2015:i:c:p:54-62.

    Full description at Econpapers || Download paper

  15. Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market. (2015). Wu, Eliza ; ter Ellen, Saskia ; He, Xuezhong ; Chiarella, Carl.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:19-34.

    Full description at Econpapers || Download paper

  16. Risk and return—Is there an unholy cycle of ratings and yields?. (2015). von Schweinitz, Gregor ; El-Shagi, Makram.
    In: Economics Letters.
    RePEc:eee:ecolet:v:129:y:2015:i:c:p:49-51.

    Full description at Econpapers || Download paper

  17. The determinants of sovereign bond yield spreads in the EMU. (2015). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151781.

    Full description at Econpapers || Download paper

  18. The Home Bias in Sovereign Ratings. (2014). Fuchs, Andreas ; Gehring, Kai.
    In: Annual Conference 2014 (Hamburg): Evidence-based Economic Policy.
    RePEc:zbw:vfsc14:100274.

    Full description at Econpapers || Download paper

  19. Quo Vadis, raters? A frontier approach to identify misratings in sovereign credit risk. (2014). Tortosa-Ausina, Emili ; Ozturk, Huseyin ; Shaban, Mohamed ; Duygun, Meryem.
    In: Working Papers.
    RePEc:jau:wpaper:2014/10.

    Full description at Econpapers || Download paper

  20. The Dynamics of Sovereign Credit Default Swaps and the Evolution of the Financial Crisis in Selected Central European Economies. (2014). Kliber, Agata.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:64:y:2014:i:4:p:330-350.

    Full description at Econpapers || Download paper

  21. Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises. (2014). Stephan, Andreas ; Schäfer, Dorothea ; Baum, Christopher ; Schafer, Dorothea ; Karpava, Margarita .
    In: EcoMod2014.
    RePEc:ekd:006356:6939.

    Full description at Econpapers || Download paper

  22. The reaction of European credit default swap spreads to the U.S. credit rating downgrade. (2014). Blau, Benjamin ; Roseman, Brian S..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:34:y:2014:i:c:p:131-141.

    Full description at Econpapers || Download paper

  23. A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozones first financial crisis. (2014). Ludwig, Alexander.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:48:y:2014:i:pa:p:125-146.

    Full description at Econpapers || Download paper

  24. Sovereign rating actions and the implied volatility of stock index options. (2014). Tran, Vu ; ap Gwilym, Owain ; Alsakka, Rasha.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:34:y:2014:i:c:p:101-113.

    Full description at Econpapers || Download paper

  25. Understanding the sovereign credit ratings of emerging markets. (2014). Varlı, Yusuf ; Erdem, Orhan ; Varli, Yusuf .
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:20:y:2014:i:c:p:42-57.

    Full description at Econpapers || Download paper

  26. Sovereign credit ratings, market volatility, and financial gains. (2014). Taamouti, Abderrahim ; Gomes, Pedro ; Afonso, Antonio.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:76:y:2014:i:c:p:20-33.

    Full description at Econpapers || Download paper

  27. The Contagion Effects of Sovereign Downgrades: Evidence from the European Financial Crisis. (2014). Corbet, Shaen.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2014-01-9.

    Full description at Econpapers || Download paper

  28. Sovereign credit ratings, market volatility, and financial gains. (2014). Taamouti, Abderrahim ; Gomes, Pedro ; Afonso, Antonio.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141654.

    Full description at Econpapers || Download paper

  29. Systemic Sovereign Risk: Macroeconomic Implications in the Euro Area. (2014). Bahaj, Saleem.
    In: Discussion Papers.
    RePEc:cfm:wpaper:1406.

    Full description at Econpapers || Download paper

  30. The 2011 European short sale ban on financial stocks: A cure or a curse?. (2013). Stork, Philip ; Kräussl, Roman ; Felix, Luiz ; Kraussl, Roman.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201317.

    Full description at Econpapers || Download paper

  31. Sovereign ratings in the post-crisis world : an analysis of actual, shadow and relative risk ratings. (2013). Ratha, Dilip ; Basu, Kaushik ; De, Supriyo ; Timmer, Hans .
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:6641.

    Full description at Econpapers || Download paper

  32. Sovereign risk contagion in the Eurozone: a time-varying coefficient approach. (2013). Ludwig, Alexander.
    In: MPRA Paper.
    RePEc:pra:mprapa:52340.

    Full description at Econpapers || Download paper

  33. News Flow, Web Attention and Extreme Returns in the European Financial Crisis. (2013). Grammatikos, Theoharry ; Chouliaras, Andreas.
    In: MPRA Paper.
    RePEc:pra:mprapa:51335.

    Full description at Econpapers || Download paper

  34. Credit Ratings and Cross-Border Bond Market Spillovers. (2013). Boninghausen, Benjamin ; Zabel, Michael .
    In: Discussion Papers in Economics.
    RePEc:lmu:muenec:21075.

    Full description at Econpapers || Download paper

  35. Anatomy of a fiscal débacle: the case of Portugal. (2013). Afonso, Antonio.
    In: Working Papers Department of Economics.
    RePEc:ise:isegwp:wp012013.

    Full description at Econpapers || Download paper

  36. What determines the duration of a fiscal consolidation program?. (2013). Sousa, Ricardo ; Castro, Vitor ; Agnello, Luca.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:37:y:2013:i:c:p:113-134.

    Full description at Econpapers || Download paper

  37. Fiscal space and sovereign risk pricing in a currency union. (2013). Qureshi, Mahvash ; Ostry, Jonathan ; Ghosh, Atish.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:34:y:2013:i:c:p:131-163.

    Full description at Econpapers || Download paper

  38. The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?. (2013). Uusküla, Lenno ; Osbat, Chiara ; Ehrmann, Michael ; Uuskula, Lenno ; Strask, Jan.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20131532.

    Full description at Econpapers || Download paper

  39. Sovereign credit ratings in the European Union: a model-based fiscal analysis. (2013). Wickens, Michael ; Polito, Vito.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9665.

    Full description at Econpapers || Download paper

  40. A Rating Agency for Europe – A good idea?. (2013). Weder, Beatrice ; di Mauro, Beatrice Weder ; Bartels, Bernhard .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9512.

    Full description at Econpapers || Download paper

  41. The Impact of Sovereign Credit Signals on Bank Share Prices during the European Sovereign Debt Crisis. (2013). Williams, Gwion ; ap Gwilym, Owain ; Alsakka, Rasha.
    In: Working Papers.
    RePEc:bng:wpaper:13007.

    Full description at Econpapers || Download paper

  42. Sovereign debt: financial market over-reliance on credit rating agencies. (2013). Bank for International Settlements, .
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:72-12.

    Full description at Econpapers || Download paper

  43. The Home Bias in Sovereign Ratings. (2013). Fuchs, Andreas ; Gehring, Kai.
    In: Working Papers.
    RePEc:awi:wpaper:0552.

    Full description at Econpapers || Download paper

  44. Deciphering financial contagion in the euro area during the crisis. (2012). Waelti, Sébastien ; Tola, Albi ; Walti, Sebastien .
    In: MPRA Paper.
    RePEc:pra:mprapa:49251.

    Full description at Econpapers || Download paper

  45. Dynamic Correlations of Sovereign Bond Yield Spreads in the Euro zone and the Role of Credit Rating Agencies Downgrades. (2012). Antonakakis, Nikolaos.
    In: MPRA Paper.
    RePEc:pra:mprapa:43013.

    Full description at Econpapers || Download paper

  46. The determinants of sovereign bond yield spreads in the EMU. (2012). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio.
    In: Working Papers Department of Economics.
    RePEc:ise:isegwp:wp362012.

    Full description at Econpapers || Download paper

  47. The determinants of sovereign bond yield spreads in the EMU. (2012). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio.
    In: Working Papers.
    RePEc:gla:glaewp:2012_14.

    Full description at Econpapers || Download paper

  48. The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal. (2012). De Santis, Roberto A..
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121419.

    Full description at Econpapers || Download paper

  49. Sovereign Debt Rating Changes and the Stock Market. (2012). Nishiotis, George ; Milidonis, Andreas ; Michaelides, Alexander ; Papakyriacou, Panayiotis .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8743.

    Full description at Econpapers || Download paper

  50. Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News. (2012). Vašíček, Bořek ; Claeys, Peter ; Vasicek, Borek.
    In: Working Papers.
    RePEc:cnb:wpaper:2012/07.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 17:46:04 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.