رتبه بندی اعتباری مستقل و پیوندهای بازارهای مالی : درخواست به اطلاعات اروپا

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch). Our results show significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements. Announcements are not anticipated at 1–2 months horizon but there is bi-directional causality between ratings and spreads within 1–2 weeks; spillover effects especially among EMU countries and from lower rated countries to higher rated countries; and persistence effects for recently downgraded countries.

After the 2008–2009 financial and economic crisis sovereign bond yield spreads increased markedly in several European Union (EU) countries, notably in the euro area, and above what one would expect from the sum of inflation, real economic growth, and fiscal developments. The main cause of such developments has to be found in the increased awareness of capital markets towards the different macro and fiscal fundamentals of each country, notably the increase in fiscal imbalances in the aftermath of the crisis. Not surprisingly, several downgrades also occurred at the sovereign rating level, both impinging and reinforcing the upward movements in sovereign spreads. Given that government debt crises have been less common in developed countries (Reinhart, 2010), previous work in the literature has focused on the relation between rating and yield and Credit Default Swap (CDS) spreads for emerging and developing economies. However, little work exists regarding the response of yields (CDS) spreads to rating announcements for a large group of advanced economies. This paper tries to fill this gap. We carry out an event study analysis to examine the effects of sovereign credit rating announcements of upgrades and downgrades (as well as changes in rating outlooks) on sovereign bond yield (CDS) spreads in EU countries. We use daily data from January 1995 until October 2010. Our contribution is twofold. First, we conduct an event study analysis looking at the reaction of yield spreads (and CDS spreads) within two days of the announcements from the rating agencies: Standard & Poor’s, Moody’s and Fitch. We make a distinction between the three main rating agencies to assess whether some agencies have bigger or more lagged impacts on the sovereign bond markets. We also look whether spread developments anticipate, to some extent, rating movements. Second, with the ratings converted into a numerical scale, we run a causality test between the transformed ratings and the yield (CDS) spreads. We look at whether sovereign yields and CDS spreads in a given country react to rating announcements of other countries, and whether there are asymmetries in the transmission of these spillover effects. In addition, we also examine whether downgrades and upgrades carry more information to the market, beyond the information contained in the rating notation. According to our analysis, the main findings include: i) a significant response of government bond yield spreads to changes in both the rating notations and the rating outlook, particularly important for the case of negative announcements; ii) rating announcements are essentially not anticipated in the previous 1 or 2 months but; iii) there is bi-directional causality between ratings and spreads in a 1–2 week window; iv) there is evidence of contagion, specially from lower rated countries to higher rated countries; and v) countries that have been downgraded less than six months ago face higher spreads than countries with the same rating but that have not been downgraded within the last six months. The remainder of the paper is organised as follows. Section two briefly reviews the related literature. Section three describes the data and some stylised facts. Section four conducts the empirical analysis and discusses the results. Section five concludes.

In this paper, we have assessed to what extent sovereign credit rating announcements impinge on the behaviour of sovereign yield spreads and CDS, a more liquid market, for the EU countries. Therefore, we have carried out an event study analysis for a panel of EU sovereign bond yields and CDS spreads with daily data from January 1995 until October 2010. The so-called events are the sovereign credit rating announcements and the changes in the credit rating outlook from the three major rating agencies (Standard & Poor’s, Moody’s and Fitch). Our main results can be summarised as follows: i) we find a significant response of government rating bond yield spreads to changes in both the credit rating notations and in the outlook (with some differences across rating agency); ii) the response results are particularly important for the case of negative announcements, while the reaction of spreads to positive rating events is more mitigated; iii) sovereign yield spreads respond negatively (and weakly) to positive events in the EMU countries, but not in the non-EMU country sub-sample, while the response to negative events is this case is quantitatively similar across country-sub-sample; iv) the reaction of CDS spreads to negative rating events has increased after the 15th of September 2008 Lehman Brothers bankruptcy; v) rating and outlook announcements are essentially not anticipated in the previous 1 or 2 months but; vi) there is evidence of bi-directional causality between sovereign ratings and spreads in a 1–2 week window; vii) we find evidence of rating announcement spillover effects, particularly from lower rated countries to higher rated countries; viii) finally, countries that have been downgraded less than 6 months ago face higher spreads than countries with the same rating but that have not been downgraded within the last six months implying a persistence effect. The abovementioned conclusions shed some additional light on the behaviour of capital markets vis-à-vis sovereign credit rating developments. The fact that negative rating events take markets mostly by surprise, can either imply that fundamentals are not fully discounted on a more permanent basis by markets participants or that rating events have, to some extent, gone astray of such underpinnings in some events. On the other hand, our analysis also shows that the reaction of EU spreads to credit rating events is clear and quick (within one to two days), which implies that good macroeconomic fundamentals and sound fiscal positions are key to prevent, first, rating downgrades, and then, the upward movement in yields and spreads. Finally, the existence of an asymmetric responsiveness of sovereign spreads vis-à-vis rating developments may also impinge importantly in economic and financial outcomes, with implications for policymaking. Finally, we have addressed a very particular question on how rating announcements received by the financial markets. One question that we do not address it to what extent are rating announcements based on fundamentals or whether some of them can be exogenous (for instance, a mistake by an agency). The reaction of the market might be very different in these two cases. In our framework, we are not isolating the effect of a truly exogenous shock to ratings, but we capture the two effects simultaneously. Distinguishing between the two channels would be a future valuable, although difficult contribution.