Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?
Résumé
This paper investigates the relationship between disclosure and bank CDS spread during the sovereign debt crisis over the period 2011-2013. We cumulated the evolution of the spread of CDS on 4 different timeframes. We modeled two transparency index: one global and one specifically dedicated to sovereign exposure. We obtained significant results on the impact of targetted sovereign disclosure on the evolution of the CDS spreads, while the global index have not significant impact on the evolution of the CDS spread.
Domaines
Gestion et management
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Downgrades of sovereign credit ratings and impact on banks CDS spread.pdf (591.84 Ko)
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