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Deprecated: Implicit conversion from float 211.6 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534 Financ+Res+Lett 2021 ; 40 (ä): 101663 Nephropedia Template TP
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Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis #MMPMID32837372
Raimbourg P; Salvadè F
Financ Res Lett 2021[May]; 40 (ä): 101663 PMID32837372show ga
This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008?13. We show that the effect of the announcement differs depending on the credit quality of the issuer (Investment Grade versus Speculative). The downgrading and negative credit watch of an investment grade country stabilize the market, as volatility decreases right after their release. By contrast, the announcements regarding speculative grade countries trigger an increase in both CDS spread and volatility. Lastly, we show that these announcements not only affect the CDS of the country, but spill over the German CDS.