Foi aceite para publicação na revista internacional do ISI "Journal of International Money and Finance" o artigo com o título "Sovereign credit ratings and financial markets linkages: application to European data", da autoria de António Afonso – UECE; ISEG; ECB -, Davide Furceri – IMF; University of Palermo – e Pedro Gomes – Universidad Carlos III de Madrid.
Abstract: We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield spreads to changes in rating notations and outlook, particularly in the case of negative announcements; unanticipated announcements; bi-directional causality between ratings and spreads; spillover effects especially from lower rated countries to higher rated countries; and amplification effects for recently downgraded countries."
