Template-Type: ReDIF-Article 1.0
Author-Name: Javier Wrana 
Author-Email: javier.wrana@urjc.es
Author-Workplace-Name: Universidad Rey Juan Carlos. Madrid.
Author-Name: José María Martín Flores
Author-Email: jose.martin@coleurope.eu

Author-Workplace-Name: Deloitte.
Title: Eurozone sovereign bonds and rating assessments: impact on volatility
Abstract: Rating agencies have been very active during the economic crisis and have been blamed for damaging the refinancing possibilities of the eurozone 
	countries. Their decisions concerning sovereign bonds have been widely pointed out as one of the reasons why spreads rose dramatically between 2009 
	and 2012. Nonetheless, last evolutions of the sovereign spreads in countries such as Spain, Ireland or France show that sovereigns do not respond to 
	rating assessments as extremely as they did before. Therefore, economic actors may wonder whether there has been a recent change in the trend or by 
	contrast those assessments did not influence the volatility of the spreads, which may have been motivated by other variables. In this paper we will 
	intend to determine to what extent S&P announcements were drivers of higher volatility of sovereign bonds’ spreads and how these effects (if any) have 
	evolved over the economic crisis.
Classification-JEL: F34, G24.

Keywords: Rating agencies, Sovereign bonds, Volatility, Economic crisis.
Journal: Papeles de Europa
Pages: 01-32
Volume: 27
Issue: 1
Year: 2014
DOI: 10.5209/rev_PADE.2014.v27.n1.47010

X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/journal/padeur14-27-1(01-32).txt
File-URL: https://eprints.ucm.es/id/eprint/47480/1/2014-27-1%2801-32%29.pdf
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Handle: RePEc:ucm:padeur:v:27:y:2014:i:1:p:01-32