Please use this identifier to cite or link to this item:
|Title:||Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis|
|Authors:||Gibson, Heather D.|
Hall, Stephen G.
Tavlas, George S.
|Citation:||Journal of International Money and Finance, 2017, 73 A, pp. 118–133|
|Abstract:||During the euro-area financial crisis, interactions among sovereign spreads, sovereign credit ratings, and bank credit ratings appeared to have been characterized by selfgenerating feedback loops. To investigate the existence of feedback loops, we consider a panel of five euro-area stressed countries within a three-equation simultaneous system in which sovereign spreads, sovereign ratings and bank ratings are endogenous. We estimate the system using two approaches. First we apply GMM estimation, which allows us to calculate persistence and multiplier effects. Second, we apply a new, system time-varying-parameter technique that provides bias-free estimates. Our results show that sovereign ratings, sovereign spreads, and bank ratings strongly interacted with each other during the euro crisis, confirming strong doom-loop effects.|
|Embargo on file until:||22-Aug-2018|
|Rights:||Copyright © 2017, Elsevier. Deposited with reference to the publisher’s open access archiving policy.|
|Description:||JEL Classification: E63, G12|
The file associated with this record is under embargo until 18 months after publication, in accordance with the publisher's self-archiving policy. The full text may be available through the publisher links provided above.
|Appears in Collections:||Published Articles, Dept. of Economics|
Files in This Item:
|Spreads sovereign ratings and bank ratings final publication.pdf||Post-review (final submitted author manuscript)||1.41 MB||Adobe PDF||View/Open|
Items in LRA are protected by copyright, with all rights reserved, unless otherwise indicated.