Raimbourg Philippe, Salvadè Federica
Ecole de Management de la Sorbonne, Université Paris 1 Panthéon-Sorbonne, France.
PSB Paris School of Business, Paris, France.
Financ Res Lett. 2021 May;40:101663. doi: 10.1016/j.frl.2020.101663. Epub 2020 Jun 24.
This paper analyzes the evolution of CDS spread and CDS volatility around European sovereign rating announcements over the period 2008-13. We show that the effect of the announcement differs depending on the credit quality of the issuer (Investment Grade versus Speculative). The downgrading and negative credit watch of an investment grade country stabilize the market, as volatility decreases right after their release. By contrast, the announcements regarding speculative grade countries trigger an increase in both CDS spread and volatility. Lastly, we show that these announcements not only affect the CDS of the country, but spill over the German CDS.
本文分析了2008 - 2013年期间欧洲主权评级公告前后信用违约互换（CDS）利差和CDS波动性的演变。我们发现，公告的影响因发行人的信用质量（投资级与投机级）而异。投资级国家的评级下调和负面信用观察稳定了市场，因为在公告发布后波动性立即下降。相比之下，关于投机级国家的公告引发了CDS利差和波动性的增加。最后，我们表明这些公告不仅影响该国的CDS，还会波及德国的CDS。
