<abstract xmlns="http://www.w3.org/1999/xhtml"><p>The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&amp;P: there are some negative price effects as well on mixed-type rating change effects, such as ‘rating watch’ announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.</p></abstract>

The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology (t-statistics) and found that sovereign rating changes significantly affect share market prices. It seems that there is information leakage prior to sovereign rating announcement dates as released by the S&P: there are some negative price effects as well on mixed-type rating change effects, such as ‘rating watch’ announcements. These are new findings that may help to extend the sovereign rating literature in terms of findings from multiple countries, and on sustainability of debt taking.

Impact of Sovereign Debt Credit Rating Revision on Banking Industry: Evidence from G7 Countries

Journal of Central Banking Theory and Practice

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

The aim of this study is to identify the economic impacts on G7 banking industry when sovereign rating is revised. We used event study methodology...

Impact of Sovereign Debt Credit Rating Revision on Banking Industry: Evidence from G7 Countries

Publié en ligne: 22 mai 2019

Pages: 85 - 100

Reçu: 08 janv. 2018

Accepté: 26 févr. 2018

DOI: https://doi.org/10.2478/jcbtp-2019-0015

Mots clés
Sovereign Debt, Sovereign Credit Rating, Credit Rating Agency (CRA), Event Study

© 2019 Reza Tahmoorespour et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Impact of Sovereign Debt Credit Rating Revision on Banking Industry: Evidence from G7 Countries

Publié en ligne: 22 mai 2019

Pages: 85 - 100

Reçu: 08 janv. 2018

Accepté: 26 févr. 2018

DOI: https://doi.org/10.2478/jcbtp-2019-0015

Mots clésSovereign Debt, Sovereign Credit Rating, Credit Rating Agency (CRA), Event Study

© 2019 Reza Tahmoorespour et al., published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

Mots clés
Sovereign Debt, Sovereign Credit Rating, Credit Rating Agency (CRA), Event Study