Do sovereign ratings cause instability in cross-border emerging CDS markets?
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Do sovereign ratings cause instability in cross-border emerging CDS markets?

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Do sovereign ratings cause instability in cross-border emerging CDS markets?

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dc.contributor.author Ballester Miquel, Laura
dc.contributor.author González Urteaga, Ana
dc.date.accessioned 2021-01-18T15:38:08Z
dc.date.available 2021-01-18T15:38:08Z
dc.date.issued 2020
dc.identifier.uri https://hdl.handle.net/10550/77307
dc.description.abstract We analyse the cross-border transmission effect of credit ratings on sovereign CDSs covering a broad sample of emerging countries during the period 2004 to 2015. This study differentiates between the spillover and competition effects between and within geographical areas of emerging countries. We find substantial evidence of cross-border effects with asymmetric responses to upgrades and downgrades. The market reaction differs across regions, reflecting how the international and local impact of rating events are due to different types of effects. At the international portfolio level, the competitive effect is dominant over the spillover effect. Negative events in Asia benefit Africa (which is also negatively affected by upgrades in Asia) and Middle East, the latter transmitting in turn to Asia with the same competitive effect. However, some spillover effects are also found both at the portfolio and intra-portfolio levels. The ones associated with downgrades are especially sensitive. In these cases, we identify the particular emerging economies that contribute to an increase in financial instability and to regional spillover effects.
dc.relation.ispartof International Review Of Economics & Finance, 2020, vol. 72, p. 643-663
dc.rights.uri info:eu-repo/semantics/openAccess
dc.source Ballester Miquel, Laura González Urteaga, Ana 2020 Do sovereign ratings cause instability in cross-border emerging CDS markets? International Review Of Economics & Finance 72 643 663
dc.subject Crèdit
dc.title Do sovereign ratings cause instability in cross-border emerging CDS markets?
dc.type info:eu-repo/semantics/article
dc.date.updated 2021-01-18T15:38:09Z
dc.identifier.doi https://doi.org/10.1016/j.iref.2020.12.014
dc.identifier.idgrec 142576

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