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Crise de la dette souveraine dans l’Union européenne : transparence des banques et spreads de CDS


  • Hervé Alexandre
  • François Guillemin
  • Catherine Refait-Alexandre


We investigate the impact of banks disclosure on the evolution of their CDS spreads during the European sovereign debt crisis. We focus on the CDS spreads changes following the announcements of sovereign credit rating downgrades. The disclosure of information helps investors in building expectations and may participate into the reduction of the information risk premium and of the CDS spreads. We assess the cumulative abnormal CDS spread changes (CASC) around sixteen downgrades from 2011 to 2013. We build two disclosure indexes: one general and one dedicated to sovereign exposure. We show that the bank exposure to sovereign risk has a positive impact on the CASC whilst a sovereign disclosure has a negative impact: information thus reduces risk premiums. However, the global disclosure increases the CASC, since investors may disapprove the disclosure of too much abundant and broad information. Classification JEL : G14, G21.

Suggested Citation

  • Hervé Alexandre & François Guillemin & Catherine Refait-Alexandre, 2016. "Crise de la dette souveraine dans l’Union européenne : transparence des banques et spreads de CDS," Revue économique, Presses de Sciences-Po, vol. 67(5), pages 1007-1035.
  • Handle: RePEc:cai:recosp:reco_675_1007

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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages


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