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Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

PublicationArticle (with peer review)
Andreas Stephan, Christopher Baum, Dorothea Schäfer, Europakris, Företagandets villkor

Abstract

This paper studies the reaction of the Euro’s value against major currencies to sovereign rating announcements from Moody’s, S&P and Fitch CRAs during the Eurozone debt crisis in 2010–2012 based on event study methodology combined with GARCH models. We also analyze how the yields of French, Italian, German and Spanish government long-term bonds were affected by CRA announcements. Our results reveal that CRA downgrades, watchlist and outlook announcements had no impact on the value of the Euro currency but increased exchange rate volatility. At the same time, downgrades as well as negative outlook announcements increased the yields of French, Italian, and Spanish bonds and even affected the German bond’s yields. This shows that the monetary union has led to a breakdown of the consequences of the rating shocks between currency value and sovereign bond yields. The reason is that part of the rating shock is absorbed by an internal repricing of sovereign bonds.

Related content: Working paper No. 224

Baum, C., Schäfer, D., & Stephan, A. (2016). Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises. Journal of Financial Stability, 24(2016), 117-131. DOI: 10.1016/j.jfs.2016.05.001

Based on content

Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
Artikel (med peer review)Publication
Baum, C., Schäfer, D., & Stephan, A.
Publication year

2016

Abstract

This paper studies the reaction of the Euro’s value against major currencies to sovereign rating announcements from Moody’s, S&P and Fitch CRAs during the Eurozone debt crisis in 2010–2012 based on event study methodology combined with GARCH models. We also analyze how the yields of French, Italian, German and Spanish government long-term bonds were affected by CRA announcements. Our results reveal that CRA downgrades, watchlist and outlook announcements had no impact on the value of the Euro currency but increased exchange rate volatility. At the same time, downgrades as well as negative outlook announcements increased the yields of French, Italian, and Spanish bonds and even affected the German bond’s yields. This shows that the monetary union has led to a breakdown of the consequences of the rating shocks between currency value and sovereign bond yields. The reason is that part of the rating shock is absorbed by an internal repricing of sovereign bonds.

Related content: Working paper No. 224

Recruitment of scarce competences to rural regions: Policy perspectives
Article (with peer review)Publication
Nyström, K.
Publication year

2021

Published in

Review of regional research.

Abstract

This paper studies the perceived difficulty of recruiting scarce competencies to rural regions. Furthermore, the role of policy in facilitating and enhancing recruitment to and better skills matching in rural regions is discussed. Based on a survey targeted to the business sections of Swedish municipalities, the results show that recruitment is perceived to be difficult in both rural and nonrural regions and that the difficulty of recruiting for the right skills results in a lack of skills matching and constitutes an obstacle to growth. Rural regions located close to urban areas can to some extent mitigate these recruitment problems, and their locations pose less of a barrier in recruitment processes compared to those of remotely located rural regions.

Which policies can help remedy recruitment problems faced in rural regions? In both rural and nonrural regions, incentives for writing off student debt and relocation support for accompanying persons and tandem recruitment are perceived to be the most promising policies. Rural regions are more receptive to the implementation of such policies. Finally, the need for flexibility and policies that can be adapted to the regional demand for labour are stressed.

Nyström, K. Recruitment of scarce competences to rural regions: Policy perspectives. Rev Reg Res (2021). https://doi.org/10.1007/s10037-021-00155-

The Effect of Marshallian and Jacobian Knowledge Spillovers on Jobs in the Solar, Wind and Energy Efficiency Sector
Article (with peer review)Publication
Aldieri, L., Grafström, J., & Vinci, C. P.
Publication year

2021

Published in

Energies, 14(14), 4269.

Abstract

The purpose of this paper is to establish if Marshallian and Jacobian knowledge spillovers affect job creation in the green energy sector. Whether these two effects exist is important for the number of jobs created in related fields and jobs pushed away in other sectors. In the analysis, the production efficiency, in terms of jobs and job spillovers, from inventions in solar, wind and energy efficiency, is explored through data envelopment analysis (DEA), based on the Malmquist productivity index, and tobit regression. A panel dataset of American and European firms over the period of 2002–2017 is used. The contribution to the literature is to show the role of the spillovers from the same technology sector (Marshallian externalities), and of the spillovers from more diversified activity (Jacobian externalities). Since previous empirical evidence concerning the innovation effects on the production efficiency is yet weak, the paper attempts to bridge this gap. The empirical findings suggest negative Marshallian externalities, while Jacobian externalities have no statistical impact on the job creation process. The findings are of strategic importance for governments who are developing industrial strategies for renewable energy.

Aldieri, L., Grafström, J., & Vinci, C. P. (2021). The Effect of Marshallian and Jacobian Knowledge Spillovers on Jobs in the Solar, Wind and Energy Efficiency Sector. Energies, 14(14), 4269.

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