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Credit ratings and government bonds: evidence before, during and after european debt crisis

2016-01-18Dissertação de mestrado Acesso aberto
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datacite.subject.fosCiências Sociais::Economia e Gestãopt_PT
dc.contributor.advisorPereira, João Pedro
dc.contributor.advisorMergulhão, João
dc.contributor.authorCoelho, Miguel de Campos Pinto
dc.date.accessioned2021-06-28T13:15:58Z
dc.date.available2021-06-28T13:15:58Z
dc.date.issued2016-01-18
dc.date.submitted2016-01-08
dc.description.abstractThis project investigates if there was any influence of credit rating agencies and long-termgovernment bond yields on each other before, during and after Europe’s sovereign debt crisis. This is addressed by estimating the relationship and causality between sovereign debt ratings or bond yields and macroeconomic and structural variables following a different procedure to explain ratings and bond yields. It is found evidence that, in distressed periods, ratings and yields do affect one another. This suggests that a rating downgrade might create a self-fulfilling prophecy, leading relatively stable countries to default.pt_PT
dc.identifier.tid201472953pt_PT
dc.identifier.urihttp://hdl.handle.net/10362/120122
dc.language.isoengpt_PT
dc.subjectEuropept_PT
dc.subjectCredit ratingpt_PT
dc.subjectDebt crisispt_PT
dc.subjectSovereign spreadspt_PT
dc.titleCredit ratings and government bonds: evidence before, during and after european debt crisispt_PT
dc.typemaster thesis
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typemasterThesispt_PT
thesis.degree.nameA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economicspt_PT

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NSBE - MA Dissertations