Eurozone sovereign bonds and rating assessments: impact on volatility



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Wrana, Javier and Martín Flores, José María (2014) Eurozone sovereign bonds and rating assessments: impact on volatility. Papeles de Europa, 27 (1). 01-32. ISSN 1989-5917

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Rating agencies have been very active during the economic crisis and have been blamed for damaging the refinancing possibilities of the eurozone countries. Their decisions concerning sovereign bonds have been widely pointed out as one of the reasons why spreads rose dramatically between 2009 and 2012. Nonetheless, last evolutions of the sovereign spreads in countries such as Spain, Ireland or France show that sovereigns do not respond to rating assessments as extremely as they did before. Therefore, economic actors may wonder whether there has been a recent change in the trend or by contrast those assessments did not influence the volatility of the spreads, which may have been motivated by other variables. In this paper we will intend to determine to what extent S&P announcements were drivers of higher volatility of sovereign bonds’ spreads and how these effects (if any) have evolved over the economic crisis.

Item Type:Article
Additional Information:

Número Monográfico: Luces y sombras en la Unión Monetaria Europea

Uncontrolled Keywords:Rating agencies, Sovereign bonds, Volatility, Economic crisis.
Subjects:Social sciences > Economics > World economy
Social sciences > Economics > Finance
JEL:F34, G24
ID Code:47480
Deposited On:10 May 2018 11:08
Last Modified:18 May 2018 11:30

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