期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：The reaction of EU bond and equity market volatilities to sovereign rating announcements(Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market andsovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. Theestimation results show that upgrades do not have significant effects on volatility, but downgradesincrease stock and bond market volatility. Contagion is present, with sovereign ratingannouncements creating interdependence among European financial markets with upgrades(downgrades) in one country leading to a decrease (increase) in volatility in other countries. Theempirical results show also a financial gain and risk (value-at-risk) reduction for portfolio returnswhen taking into account sovereign credit ratings’ information for volatility modelling, withfinancial gains decreasing with higher risk aversion.
