French research examines impact of credit rating changes


A working paper published by the Banque de France in September reveals a change to a country's credit rating can have a large effect on markets, particularly in the case of downgrades.

The authors, Matthieu Bussière and Annukka Ristiniemi, find investment spreads rise by between 13% and 16% following a downgrade, while ratings only decrease by between 2% and 4% after an upgrade. This divergence could be attributed to a strong connection between ratings and investors' internal rules, the paper

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