Arbeitspapier
Sovereign credit ratings, market volatility, and financial gains
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements creating interdependence among European financial markets with upgrades (downgrades) in one country leading to a decrease (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction for portfolio returns when taking into account sovereign credit ratings’ information for volatility modelling, with financial gains decreasing with higher risk aversion.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1654
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Financial Markets and the Macroeconomy
Portfolio Choice; Investment Decisions
International Financial Markets
Fiscal Policies and Behavior of Economic Agents: General
- Thema
-
EGARCH
financial gain
optimal portfolio
risk management
sovereign ratings
stock market returns
value-at-risk
volatility
yields
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Afonso, António
Gomes, Pedro
Taamouti, Abderrahim
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Afonso, António
- Gomes, Pedro
- Taamouti, Abderrahim
- European Central Bank (ECB)
Entstanden
- 2014
Ähnliche Objekte (12)
What “hides” behind sovereign debt ratings?
Short and long-run behaviour of long-term sovereign bond yields
Sovereign credit ratings and financial markets linkages: application to European data
Long-run determinants of sovereign yields
Sovereign Debt Crisis in Portugal and Spain
Bank Regulation and Sovereign Risk: A Paradox
Government size, composition, volatility and economic growth
Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Stock flow adjustments in sovereign debt dynamics: the role of fiscal frameworks
Portugal's GDP, a note on the 2020 unknowns
Sustainability of fiscal policy in the EU-15
A Note on Public Spending Efficiency
What “hides” behind sovereign debt ratings?
Short and long-run behaviour of long-term sovereign bond yields
Sovereign credit ratings and financial markets linkages: application to European data
Long-run determinants of sovereign yields
Sovereign Debt Crisis in Portugal and Spain
Bank Regulation and Sovereign Risk: A Paradox
Government size, composition, volatility and economic growth
Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Stock flow adjustments in sovereign debt dynamics: the role of fiscal frameworks
Portugal's GDP, a note on the 2020 unknowns
Sustainability of fiscal policy in the EU-15
A Note on Public Spending Efficiency
What “hides” behind sovereign debt ratings?
Short and long-run behaviour of long-term sovereign bond yields
Sovereign credit ratings and financial markets linkages: application to European data
Long-run determinants of sovereign yields
Sovereign Debt Crisis in Portugal and Spain
Bank Regulation and Sovereign Risk: A Paradox
Government size, composition, volatility and economic growth
Level, slope, curvature of the sovereign yield curve, and fiscal behaviour
Stock flow adjustments in sovereign debt dynamics: the role of fiscal frameworks
Portugal's GDP, a note on the 2020 unknowns
Sustainability of fiscal policy in the EU-15