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Working paper No. 224. Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises

PublikationWorking paper
Andreas Stephan, Christopher Baum, Dorothea Schäfer, Företagandets villkor, Skuld
WP_224
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Sammanfattning

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German bond’s yields, although Germany’s rating status was never touched by CRA. There is no evidence for Granger causality from bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries, out of ailing states’ debt into more stable borrowers’ securities.

Related content: Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, C., Karpava, M., Schäfer, D. & Stephan, A. (2013). ”Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises”. Ratio Working paper No. 224.

Baserat på innehåll

Working paper No. 224. Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
Working paperPublikation
Working paper No. 224. Baum, Christopher. Karpava, Margarita. Schäfer, Dorothea. Stephan, Andreas.
Publiceringsår

2013

Sammanfattning

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German bond’s yields, although Germany’s rating status was never touched by CRA. There is no evidence for Granger causality from bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries, out of ailing states’ debt into more stable borrowers’ securities.

Related content: Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, C., Karpava, M., Schäfer, D. & Stephan, A. (2013). ”Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises”. Ratio Working paper No. 224.

Working paper No. 224. Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises
Working paperPublikation
Working paper No. 224. Baum, Christopher. Karpava, Margarita. Schäfer, Dorothea. Stephan, Andreas.
Publiceringsår

2013

Sammanfattning

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading increased the yields of French, Italian and Spanish bonds but lowered the German bond’s yields, although Germany’s rating status was never touched by CRA. There is no evidence for Granger causality from bond yields to rating announcements. We infer from these findings that CRA announcements significantly influenced crisis-time capital allocation in the Eurozone. Their downgradings caused investors to rebalance their portfolios across member countries, out of ailing states’ debt into more stable borrowers’ securities.

Related content: Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, C., Karpava, M., Schäfer, D. & Stephan, A. (2013). ”Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises”. Ratio Working paper No. 224.

Ratio Working Paper No. 349: Industrial conflict in essential services in a new era – Swedish rules in a comparative perspective
Working paperPublikation
Karlson, N.
Publiceringsår

2021

Publicerat i

Ratio Working Paper

Sammanfattning

This paper examines whether the Swedish regulatory system of dealing with industrial conflicts that affect essential services need an update or reform. Are the existing rules effective in a world where many essential services are upheld by many interdependent agents in complex systems where every single node becomes critical for the functioning of the system, and where the essential service activities could be either private or public? A comparative study is conducted with the corresponding regulatory systems of the United Kingdom, Germany, and Denmark.
The conclusion is that Sweden is a special case. The Swedish protection against and readiness in dealing with societally harmful industrial conflicts in essential services is weaker than in the countries of comparison. Just as in relation to other threats to essential services, it is not sustainable to claim that just because such a threat is not currently present, there would be no need for preparedness.
There are many alternative ways to handle this. Desirable methods should both prevent harmful conflicts from erupting and end conflicts that have grown harmful to society at a later stage. The labour market organisations should have a mutual interest in reforming the rules.

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