TY  - UNPD
A1  - Fornariy, Fabio
A1  - Zaghini, Andrea
T1  - It’s not time to make a change: Sovereign fragility and the corporate
credit risk
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 652
N2  - Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an .event risk transfer., namely a significant credit risk transmission from the sovereign to the corporate sector after a sovereign rating downgrade. We find that after the delivery of the downgrade, corporate CDS spreads rise by 36% per annum and there is a widespread contagion across countries, in particular among those which were most exposed to the sovereign debt crisis. This effect exists on top of the standard relation between sovereign and corporate credit risk.
T3  - CFS working paper series - 652 
KW  - sovereign rating
KW  - corporate credit risk
KW  - CDS spreads
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/57390
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-573904
UR  - https://ssrn.com/abstract=3785620
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -