Do sovereign rating changes trigger spillover effects?

Emawtee Bissoondoyal-Bheenick

    Research output: Contribution to journalArticleResearchpeer-review

    10 Citations (Scopus)

    Abstract

    This paper examines whether changes in a particular country s sovereign ratings provided by Standard and Poor s and Moody s trigger a spillover effect on other countries. The analysis focuses on two sets of countries namely where there are trade links between the countries and where there are links between the financial markets of each country. The findings indicate that there are more significant results when the links in financial markets are analysed compared to trade links. Moreover, the results are dependent on which rating is under analysis, that is, Standard and Poor s Local Currency, Standard and Poor s Foreign Currency, Moody s Bank Deposit or Moody s bonds and notes. Finally, there does appear to be a contamination effect for both upgrades and downgrades among the countries.
    Original languageEnglish
    Pages (from-to)79 - 96
    Number of pages18
    JournalResearch in International Business and Finance
    Volume26
    Issue number1
    DOIs
    Publication statusPublished - 2012

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