News Spillovers in the Sovereign Debt Market

By A. Gande, David Parsley. 2003

413 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b9cf07440d3892cf7fb4323246d7966005ec934d

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Citations in the corpus

Credit Rating Agencies in Capital Markets: A Review of Research Evidence on Selected Criticisms of the Agencies (2007, neutral): “See Gonzales et al. (2004). Altman (2002), Antonov (2000), and Robbe and Mahieu (2005)”
Variations in sovereign credit quality assessments across rating agencies (2010, background): “Brooks, Faff, Hillier and Hillier (2004), Gande and Parsley (2005) and Hill and Faff (2007) provide evidence that there are non-trivial differences in rating activity at the sovereign level across different rating agencies and Cantor and Packer (1996) show that these differences are more evident at…”
Sovereign Credit Ratings, Capital Flows and Financial Sector Development in Emerging Markets (2006, methodology): “5 In a different line of investigation, Gande and Parsley (2005) and Ferreira and Gama (2007) use the comprehensive credit ratings measure to examine the spillover effects of one country’s sovereign credit rating events to other countries’ sovereign debt markets and stock markets…”
The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, positive): “In this way, we improve upon the arbitrary adjustments made to linearly transformed sovereign rating scales in Gande and Parsley (2005) and Kim and Wu (2007).”
Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis (2011, neutral): “Gande and Parsley (2005) and Kaminsky and Schmuckler (2002).”
Leads and lags in sovereign credit ratings. (2010, background): “Gande and Parsley (2005) provide evidence of an asymmetric international spillover effect of a sovereign rating adjustment on the sovereign credit spreads of other countries.”
Investor Protection, Equity Returns, and Financial Globalization (2009, background): “Log distance is the natural logarithm of the distance between the domicile of the main stock exchange in the origin country and the domicile of the main stock exchange in the target country and is from Gande and Parsley (2005).”
The Determinants of Sovereign Bond Yield Spreads in the EMU (2012, methodology): “10 standard practice in the empirical literature on EMU Equation(1) includes lagged spreads to account for spreads persistence (see also Gerlach et al., 2010). As Hallerberg and Wolff (2008) explain, while the persistent nature of spreads implies that the exclusion of the lagged spread term from the”
Do cryptocurrencies and traditional asset classes influence each other? (2019, background): “Interconnectedness of financial markets has been important topic in center of research agenda since the 1990s (e.g., Forbes and Rigobon, 2002; Gande and Parsley, 2005).”
Does sovereign debt ratings news spill over to international stock markets (2007, methodology): “We extend the methodology that Gande and Parsley (2005) use to study the impact of rating changes in international stock markets.”