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 …

We assess how investors evaluate sovereign borrowers, arguing that sovereign risk is less
“sovereign” than previous research assumes. Investors evaluate governments based not …

This paper compares the importance of different sovereign credit rating determinants over
time, using a sample of 90 countries for the years 2002–2015. Applying the composite …

Credit rating agencies do not only disclose simple ratings but announce watchlists (rating
reviews) and outlooks as well. This paper analyzes the economic function underlying the …

This paper analyses lead–lag relationships in sovereign ratings across five agencies, and
finds evidence of interdependence in rating actions. Upgrade (downgrade) probabilities are …

Using data on 143 sovereigns provided by nine agencies based in six countries, we
estimate the determinants of sovereign ratings to test whether agencies assign higher …

This paper analyses the effects of sovereign rating actions on the credit ratings of banks in
emerging markets, using a sample from three global rating agencies across 54 countries for …

The three major credit rating agencies have reassessed sovereign credit risks in the light of
the Great Financial Crisis, increasing the transparency of their methodologies. This has …

This paper extends the literature on the economic consequences of coups d'état by
examining their impact on the cost of debt for sovereigns and, respectively, the likelihood of …

This paper critically reviews the debate on CRAs and, in the light thereof, analyses the
European regulatory approach to CRAs, thereby combining insights from economics and …