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01 April 2011

IMF publishes 'Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis' report


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Der Bericht untersucht die Spillover-Effekte von Rating Nachrichten auf den europäischen Finanzmärkten während des Zeitraums 2007-2010. Die wichtigste Erkenntnis ist, dass Herabstufungen des Ratings statistisch und ökonomisch erhebliche Spillover-Effekte haben, sowohl zwischen den Ländern als auch unter den Finanzmärkten


The sign and magnitude of the spillover effects depend on the type of announcements, the source country experiencing the downgrade and the rating agency from which the announcements originate.  However, IMF also finds evidence that downgrade to near speculative grade rating for relatively large economies such as Greece have a systematic spillover effect across eurozone countries. Rating-based triggers used in banking regulation, CDS contracts and investment mandates may help explain these results.

The report  focuses on the three major credit rating agencies, i.e. Fitch, Moody’s and Standard and Poor’s (S&P) making announcements of various types, namely rating changes (upgrades and downgrades), revision of outlook (positive and negative) and review for future rating changes. These different rating announcements can also occur simultaneously, even if rating agencies typically signal in advance their intention to consider rating changes. For example, Fitch, Moody’s and S&P use a negative “outlook” notification to indicate the potential for a downgrade within the next two years (one year in the case of speculative-grade credits). They also use negative “watch” notifications to indicate that a downgrade is likely within the next 90 days.

Full report

 


© International Monetary Fund


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