https://scholars.lib.ntu.edu.tw/handle/123456789/631097
Title: | Output spillovers from changes in sovereign credit ratings | Authors: | SHENG-SYAN CHEN Chen, Hsien Yi Yang, Shu Ling Chang, Chong Chuo |
Keywords: | Economic growth | Output spillover | Sovereign credit rating revision | Issue Date: | 1-May-2016 | Publisher: | ELSEVIER SCI LTD | Journal Volume: | 63 | Start page/Pages: | 48-63 | Source: | Journal of International Money and Finance | Abstract: | 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 |
Appears in Collections: | 財務金融學系 |
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