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Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes

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  • Apergis, Nicholas

Abstract

The paper examines the role of newswire messages during the European debt crisis. In particular, this study quantifies how this news metric, revealed by statements electronically recorded, as well as by newspaper articles, affects credit ratings. Through a sample of three European countries with sovereign debt problems and under strict austerity programmes, i.e., Greece, Ireland, and Portugal, daily data spanning the period of 2009 to 2011, and parametric, nonparametric and ordered probit panel methodologies, the obtained results document that the news variable significantly affects credit ratings, particularly when news comes from market sources but less so when the news is from politicians.

Suggested Citation

  • Apergis, Nicholas, 2015. "Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 54-62.
  • Handle: RePEc:eee:finana:v:39:y:2015:i:c:p:54-62
    DOI: 10.1016/j.irfa.2015.01.003
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    References listed on IDEAS

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    Cited by:

    1. Apergis, Nicholas & Lau, Marco Chi Keung & Yarovaya, Larisa, 2016. "Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 50-59.

    More about this item

    Keywords

    Newswire messages; Credit ratings; European countries; Sovereign debt problems;

    JEL classification:

    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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