Syndicated Euro-Credit Sovereign Risk Assessments, Market Efficiency and Contagion Effects
This study investigates the informational efficiency of the syndicated Euro-credit market by analyzing the adjustment of spreads to “news” characterizing the state of sovereign borrowers' creditworthiness. In addition, the potential for an interlinked crisis (contagion effects) between three major borrowing countries is examined. That is, contagion tests are conducted to see how “news” for one borrower affects the spreads charged to the others. The evidence suggests that the Euro-Credit pricing process has been informationally efficient. However, with respect to the contagion effects it was found that noncountry-specific risk factors systematically influence country-specific spreads.© 1989 JIBS. Journal of International Business Studies (1989) 20, 255–267
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 20 (1989)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.palgrave-journals.com/|
Web page: https://aib.msu.edu/
|Order Information:||Web: http://www.springer.com/business+%26+management/journal/41267/PS2|
When requesting a correction, please mention this item's handle: RePEc:pal:jintbs:v:20:y:1989:i:2:p:255-267. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.