Eurozone sovereign downgrades increased corporate risk – ECB paper

Ratings changes for “core” eurozone countries had largest effects on corporate bonds


Downgrades to eurozone countries’ sovereign debt ratings affected credit risk for the bloc’s firms, a working paper published by the European Central Bank finds.

In It’s not time to make a change: sovereign fragility and the corporate credit risk, Fabio Fornari and Andrea Zaghini analyse sovereign and corporate bond data.

The authors look at all ratings downgrades by Fitch, Moody’s and Standard & Poor’s between 2006 and 2018 for eurozone countries. They argue that this sample is large enough

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