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《Financial Economics Research》 2018-02
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The Impact of Sovereign Credit Ratings on the Credit Default Swap Market in the Eurozone and its Spillover Effect

Su Min;Li Jianyu;College of Economics and Management,Taiyuan University of Technology;School of Technology,Beijing Forestry University;  
Using data from 15 countries in the Eurozone from 2005 to 2016 as the basis of the research and applying an event study method and a fixed-effect panel data model,this study explored the effects of sovereign credit ratings on the credit default swap( CDS) market in the Eurozone and its spillover effect. The results showed that sovereign credit ratings had a significant information and certification effect on financial markets,while the regulatory effect of the ratings was not found to be significant. Furthermore,the findings suggested that the main spillover channel in the Eurozone was inter-bank business relationships,rather than international trade. Specifically,a vulnerable banking system may amplify the market's response to downgrade sovereign credit ratings. The conclusions of the study provide a better understanding of the mechanisms behind the influence of sovereign credit ratings on the market,as well as useful experiences and lessons that can be used to guide Chinese policy to reduce the risks and problems associated with the downgrading of sovereign credit ratings.
【Fund】: 山西省软科学研究一般项目(2017041017-1);; 太原理工大学校基金(2016RS13);; 山西省软科学研究重点项目(2017042009)
【CateGory Index】: F831.5
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