The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market

Micu, Marian; Remolona, Eli M.; Wooldridge, Philip D.

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The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market

BIS Quarterly Review, June 2004

12 Pages Posted: 7 May 2012 Last revised: 29 Sep 2013

See all articles by Marian Micu

Eli M. Remolona

Bank for International Settlements (BIS) - Monetary and Economic Department

Philip D. Wooldridge

Bank for International Settlements (BIS)

Date Written: June 1, 2004

Abstract

Rating announcements affect spreads on credit default swaps. The impact is more pronounced for negative reviews and downgrades than for outlook changes.

JEL Classification: G10, G14

Suggested Citation: Suggested Citation

Micu, Marian and Remolona, Eli M. and Wooldridge, Philip D., The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market (June 1, 2004). BIS Quarterly Review, June 2004, Available at SSRN: https://ssrn.com/abstract=1968351