https://scholars.lib.ntu.edu.tw/handle/123456789/631097
標題: | Output spillovers from changes in sovereign credit ratings | 作者: | SHENG-SYAN CHEN Chen, Hsien Yi Yang, Shu Ling Chang, Chong Chuo |
關鍵字: | Economic growth | Output spillover | Sovereign credit rating revision | 公開日期: | 1-五月-2016 | 出版社: | ELSEVIER SCI LTD | 卷: | 63 | 起(迄)頁: | 48-63 | 來源出版物: | Journal of International Money and Finance | 摘要: | This research examines how a sovereign rating revision of one country influences the economic growth rates of other countries. Rating revisions have significant output spillover effects: A one-notch upgrade (downgrade) prompts on average a significant downward revision of about 0.03% (0.07%) in the consensus forecast of annual economic growth rates of other countries in the two-month period after the event. The spillovers are transmitted through direct and indirect trade and financial linkages between event and non-event countries. The evidence indicates that a predominance of differential (common) spillovers leads upgrades (downgrades) to produce adverse output effects for other countries. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/631097 | ISSN: | 02615606 | DOI: | 10.1016/j.jimonfin.2016.01.007 |
顯示於: | 財務金融學系 |
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