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Eurozone sovereign bonds and rating assessments: impact on volatility

Author

Listed:
  • Javier Wrana

    (Universidad Rey Juan Carlos. Madrid.)

  • José María Martín Flores

    (Deloitte.)

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.

Suggested Citation

  • Javier Wrana & José María Martín Flores, 2014. "Eurozone sovereign bonds and rating assessments: impact on volatility," Papeles de Europa, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Estudios Internacionales (ICEI), vol. 27(1), pages 01-32.
    • Handle: RePEc:ucm:padeur:v:27:y:2014:i:1:p:01-32
    DOI: 10.5209/rev_PADE.2014.v27.n1.47010
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    More about this item

    Keywords

    Rating agencies; Sovereign bonds; Volatility; Economic crisis.;
    All these keywords.

    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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