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

Reza Tahmoorespour; Mohamed Ariff; Alireza Zarei

doi:10.2478/jcbtp-2019-0015

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

Reza Tahmoorespour, Mohamed Ariff, Alireza Zarei

Research output: Contribution to journal › Article › peer-review

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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.

Original language	English
Pages (from-to)	85-100
Number of pages	16
Journal	Journal of Central Banking Theory and Practice
Volume	8
Issue number	2
Early online date	22 May 2019
DOIs	https://doi.org/10.2478/jcbtp-2019-0015
Publication status	Published - May 2019
Externally published	Yes

Bibliographical note

Open access

Keywords

Credit Rating Agency (CRA)
Event Study
Sovereign Credit Rating
Sovereign Debt

ASJC Scopus subject areas

Finance
Economics and Econometrics
Strategy and Management

Access to Document

10.2478/jcbtp-2019-0015Licence: CC BY-NC-ND

PublishedFinal published version, 2.05 MBLicence: CC BY-NC-ND

Link to publication in Scopus

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Cite this

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