We investigate agency variation in credit quality assessment (Standard and Poor's vs.
Moody's vs. Fitch) employing sovereign ratings data for 129 countries, spanning the period …

The ongoing financial crisis has drawn considerable attention to the role of credit rating
agencies in the financial system. We examine how the foreign exchange market reacts to …

This study aims to shed light on the co-movement of sovereign credit risk and economic risk
in Turkey using the Toda–Yamamoto causality, Gradual Shift causality, and Wavelet …

This study examines the spillover effects of sovereign risk on international stock markets
using a dynamic spatial Durbin model (SDM) on a panel of forty countries from 2009Q1 to …

We analyse the reaction of the foreign exchange spot market to sovereign credit signals by
Fitch, Moody's and S&P during 1994–2010. We find that positive and negative credit news …

Prediction of financial market data with deep learning models has achieved some level of
recent success. However, historical financial data suffer from an unknowable state space …

This paper examines the effect of credit rating announcements on ten-year sovereign bond
yields for a selected sample of “traditional” and “new” global emerging countries as well as …

Rating agencies consult with local government officials several days prior to official
announcements of sovereign debt rating changes, making information leakage likely. Using …

Basel III seeks to improve the financial sector's resilience to stress scenarios which calls for
a reassessment of banks' credit risk models and, particularly, of their dependence on …

This article examines the effect of changes in sovereign credit ratings and their outlook on
the stock market returns of European countries at different phases of business cycle. Using …