دانلود مقاله ISI انگلیسی شماره 48468
ترجمه فارسی عنوان مقاله

رتبه بندی اعتباری و اثر سرایتی فرامرزی بازار اوراق قرضه

عنوان انگلیسی
Credit ratings and cross-border bond market spillovers ☆
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
48468 2015 22 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Money and Finance, Volume 53, May 2015, Pages 115–136

ترجمه کلمات کلیدی
بازار بدهی - موسسات رتبه بندی اعتباری - اثرات سرریز فرامرزی - یکپارچگی مالی بین المللی
کلمات کلیدی انگلیسی
Sovereign debt market; Credit rating agencies; Cross-border spillover effects; International financial integrationG15; F36
پیش نمایش مقاله
پیش نمایش مقاله  رتبه بندی اعتباری و اثر سرایتی فرامرزی بازار اوراق قرضه

چکیده انگلیسی

This paper studies spillovers across sovereign debt markets in the wake of sovereign rating changes. We compile an extensive dataset covering all announcements by the three major agencies (Standard & Poor's, Moody's, Fitch) and daily sovereign bond market movements of up to 73 developed and emerging countries between 1994 and 2011. To cleanly identify the existence of spillover effects, we perform an explicit counterfactual analysis which pits bond market reactions to small revisions in ratings against reactions to all other, more major changes. We also control for the environment in which an announcement is made, such as the anticipation through watchlistings and the interaction of similar rating actions by different agencies. While there is strong evidence of negative spillover effects in response to downgrades, positive spillovers from upgrades are much more limited at best. Furthermore, negative spillover effects are more pronounced for countries within the same region. Strikingly, this cannot be explained by fundamental linkages and similarities between countries.