글로벌금융위기와 유럽재정위기가 유로존 국가 및이머징마켓 금융안정에 미치는 영향|RISS 상세보기

다국어 초록 (Multilingual Abstract)

This study examines whether international credit rating institutions` downgrades on sovereign credit ratings of European and emerging market countries affects their sovereign bond yields, i.e. yield spreads relative to U.S. Treasury and German bund yields, and CDS spreads around the global financial and euro zone debt crises. The main empirical findings are summarized as follows. First, credit rating downgrades caused both bond yields and CDS spreads to increase. Second, when the impacts of downgrades were compared before and after the crises, bond yields increased more after the crises. However, CDS spreads did not. Third, the interaction effect between the crises and regions was significant in that the global crisis affected both euro zone and emerging market countries. In the meantime, the eurozonecrisis affected only euro zone countries. In addition, only CDS spreads of euro zone countries increased after the two crises, but those of emerging countries did not. Fourth, when the sovereign credit rating was downgraded within the investment grades, bond yields increased less than when it was downgraded within the speculative grades or between the investment and speculative grades. It implies that investors recognize less investment risk for the downgrade within the investment grades. In contrast, when the rating was downgraded within the speculative grades, bond yields increased more, implying that the investment risk was recognized more severely. Last, not but least, among the three rating institutions, Moody`s, Fitch, and S&P`s, Fitch was most influential in that when it downgraded the rating, both bond yields and CDS spreads went up more. To conclude, we found the differential effect of rating downgrades depending upon the types of crisis, regions and instruments.

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참고문헌 (Reference)

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