Credit rating agencies and their impact on the bond markets of EU countries

• Název práce v češtině: Ratingové agetury a jejich dopad na ceny dluhopisů v EU
• Název v anglickém jazyce: Credit rating agencies and their impact on the bond markets of EU countries
• Klíčová slova: úvěrové hodnocení; pojištění proti nesplacení dluhopisu; ratingové agentury; vládní dluhopis; Evropská unie
• Klíčová slova anglicky: credit rating; credit default swap; rating agency; sovereign bond; EU
• Akademický rok vypsání: 2011/2012
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. Roman Horváth, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 09.02.2012
• Datum zadání: 09.02.2012
• Datum a čas obhajoby: 30.01.2013 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 07.01.2013
• Datum proběhlé obhajoby: 30.01.2013
• Oponenti: PhDr. Ivo Jánský

Seznam odborné literatury

Afonso, A., Gomes, P., Rother, P., What 'Hides' Behind Sovereign Debt Ratings? (January 2007). ECB Working Paper No. 711
Afonso, A., Gomes, P., Rother, P. (2011a). “Short and Long-run Determinants of Sovereign Debt Credit Ratings”, International Journal of Finance and Economics, 16(1), 1-15.
Afonso, A. Furceri, D. Gomes, P. (2011b). "Sovereign credit ratings and financial markets linkages: application to European data," Working Paper Series 1347, European Central Bank.
Alexopoulou, I., Bunda, I., Ferrando, A. (2009): “Determinants of Government Bond Spreads in New EU Countries”, Working Paper Series No. 1093 / September 2009, European Central Bank
Arezki, R., Candelon, B. and Sy, A. N. R., Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (April 13, 2011). CESifo Working Paper Series No. 3411.
Baltagi, Badi H., Econometric Analysis of Panel Data, John Wiley & Sons, 2nd edition, October 2001, 293p.
Bissoondoyal-Bheenick, E., Do sovereign rating changes trigger spillover effects?, Research in International Business and Finance, Volume 26, Issue 1, January 2012, Pages 79-96
Bissoondoyal-Bheenick, E., An analysis of the determinants of sovereign ratings, Global Finance Journal, Volume 15, Issue 3, February 2005, Pages 251-280
Brooks, R., Faff, R.W., Hillier, D., Hillier, J. The national market impact of sovereign rating changes, Journal of Banking & Finance, Volume 28, Issue 1, January 2004, Pages 233-250
Cantor,R. Packer, F. 1996a. Determinants and impact of sovereign credit rating. Federal Reserve Bank New York Econ. Policy Rev. (October) (1996), pp. 1–15
Cantor,R. Packer, F. 1996b. Sovereign risk assessment and agency credit ratings. Eur. Financial Manage., 2 (1996), pp. 247–256
Cavallo, E., Powell, A. and Rigobon, R. (2012), DO CREDIT RATING AGENCIES ADD VALUE? EVIDENCE FROM THE SOVEREIGN RATING BUSINESS. Int. J. Fin. Econ.. doi: 10.1002/ijfe.1461
Claeys, P., Vašíček, B., 2012. Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News. Mimeo, Czech National Bank.
Frost, C. 2006, Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies (March 15, 2006).
González-Rozada, M. and Yeyati, E. L. (2008), Global Factors and Emerging Market Spreads. The Economic Journal, 118: 1917–1936.
IMF (2010), Global Financial Stability Report, 2010: Sovereigns, Funding and Systemic Liquidity.
Ismailescu, I. Kazemi, H. B. (2009) The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes (October 29, 2009). Journal of Banking and Finance, Vol. 34, pp. 2861-2873, 2010
Jabłecki, J. (2012): THE EUROPEAN SOVEREIGN-DEBT CRISIS: A FAILURE OF REGULATION?, Critical Review: A Journal of Politics and Society, 24:1, 1-35
Jaramillo, L. - Tejada, C. M. (2011). Sovereign credit ratings and spreads inemerging markets: does investment grade matter?" IMF working paper no. 11/44
Kennedy, P. (2003). A Guide To Econometrics, Fifth Edition. MIT Press. MIT Press (Cambridge).
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Mackintosh, J. 2012. Greece treated as developing country. Financial Times (online). Available at: http://www.ft.com/cms/s/0/22157010-6947-11e1-956a-00144feabdc0.html (Access: 2012-05-31)
Moody’s (2008), Rating Methodology: Sovereign Bond Ratings, September 2008. Available at: http://www.moodys.com/researchdocumentcontentpage.aspx?docid=PBC_109490 (Access: 2012-05-27)
Moora, N. (2005). Sovereign credit ratings: Guilty beyond reasonable doubt?. Journal of Banking & Finance 30 (2006), 2051-2062
Packer, F (2003): “Mind the gap: domestic versus foreign currency sovereign ratings”, BIS Quarterly Review, September, pp 55–63.
Poon, W., Are unsolicited credit ratings biased downward?, Journal of Banking & Finance, Volume 27, Issue 4, April 2003, Pages 593-614
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Stulz, R., Credit Default Swaps and the Credit Crisis (September 18, 2009). Charles A. Dice Center Working Paper No. 2009-16 ; Fisher College of Business Working Paper No. 2009-03-16; ECGI - Finance Working Paper No. 264/2009.
Sy, A.N.R., 2002. Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals. Emerging Markets Review, 3(4), p.380–408.

Předběžná náplň práce

Sovereign bond yields and credit default swaps are in the centre of attention following their increase caused by events of 2008 and rising suspicion of markets about the real explicative power of countries’ macroeconomic fundamentals. The responsiveness of capital markets to changes in credit ratings has been usually depicted on data from stock markets. However credit announcements might influence sovereign bond markets too (according to existing research). This was already shown especially in case of emerging economies. In this thesis I would like to examine the presence of this effect for the European markets and evaluate its causality, contagion power, spillover effect and persistence. Furthermore I will try to describe the means of reaction of Eastern European government bond yields to changes in Western European sovereign credit ratings. In addition we make comparison between the sensitivity of government bond yields to sovereign credit rating announcements before and after the start of recent financial crisis. We fell those findings could serve to enhance understanding of the role of rating agencies and the response to their signals in bond markets.

Předběžná náplň práce v anglickém jazyce

Sovereign bond yields and credit default swaps are in the centre of attention following their increase caused by events of 2008 and rising suspicion of markets about the real explicative power of countries’ macroeconomic fundamentals. The responsiveness of capital markets to changes in credit ratings has been usually depicted on data from stock markets. However credit announcements might influence sovereign bond markets too (according to existing research). This was already shown especially in case of emerging economies. In this thesis I would like to examine the presence of this effect for the European markets and evaluate its causality, contagion power, spillover effect and persistence. Furthermore I will try to describe the means of reaction of Eastern European government bond yields to changes in Western European sovereign credit ratings. In addition we make comparison between the sensitivity of government bond yields to sovereign credit rating announcements before and after the start of recent financial crisis. We fell those findings could serve to enhance understanding of the role of rating agencies and the response to their signals in bond markets.