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Dopad změn státních ratingů na spready výnosů evropských státních dluhopisů / Impact of Sovereign Ratings Changes on European Sovereign Yield Spreads

The spreading sovereign debt crisis in the Euro zone has renewed the debate about impact of credit rating agencies on financial markets. This thesis aims to explore the role played by the leading credit rating agencies by analysing the interaction between changes in sovereign ratings announced and the yield spreads of sovereign bonds, especially the short term impact and the potential contagion effect of rating changes on the highly integrated Euro zone financial market. The conducted event study and panel regression indicate that there is a significant impact of rating downgrades and negative rating outlooks on sovereign bond markets. Moreover, we have found significant contagion effect spreading from downgraded countries to non-event Euro zone members, namely not only to sovereign bond markets, but also to stock markets. JEL Classification: C23, E44, G12, G14 Keywords: credit ratings; sovereign yield spreads; rating agencies; contagion Author's email: veronika.vyskocilova@email.cz Supervisor's email: roman.horvath@gmail.com

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:306514
Date January 2012
CreatorsVyskočilová, Veronika
ContributorsHorváth, Roman, Teplý, Petr
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/masterThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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