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IMF working paper: Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis

Abstract This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The sign and magnitude of the spillover effects depend both on the type of announcements,…

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IMF working paper: Sovereign Debt Restructurings 1950–2010: Literature Survey, Data, and Stylized Facts

Abstract This paper provides a comprehensive survey of pertinent issues on sovereign debt restructurings, based on a newly constructed database. This is the first complete dataset of sovereign restructuring cases, covering the six decades from 1950–2010; it includes 186 debt exchanges with foreign banks and bondholders, and 447 bilateral debt agreements with the Paris Club.…

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Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis

Abstract This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment. While the equity return performance in the…

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