Contagion Effects of Sovereign Credit Rating Revisions on the Real Economy: Is It Trade or Finance?

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题名:	Contagion Effects of Sovereign Credit Rating Revisions on the Real Economy: Is It Trade or Finance?
作者:	陳獻儀;Chen, Hsien-Yi;楊淑玲;Yang, Shu-Ling;*
贡献者:	財務金融學系
关键词:	Sovereign credit rating revision, contagion effect, output growth, real economy
日期:	2018-05
上传时间:	2018-10-22 03:39:53 (UTC+0)
摘要:	We analyse the contagion effects of sovereign credit rating revisions on the real economy, with particular emphasis on the intensity of trade and finance channels. Our findings show that event countries that experienced rating revisions cause substantial contagion effects on the real output growth rates of nonevent countries. Nonevent countries with a high export ratio, high external debt levels, or those that are more dependent on common bank credit relative to other nonevent countries are more likely to be infected by event countries’ adverse credit shocks. The results remain after accounting for alternative real economy indicators, financial liberalization, financial crises, and economic development status.
關聯:	APPLIED ECONOMICS
显示于类别:	[財務金融學系] 期刊論文

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