主权评级下调对欧元区市场定价的冲击

欧元区主权评级事件显著干扰了CDS息差和国债收益率,但市场参与者倾向于更加关注来自欧元区大国的"观察名单"信息,以及来自欧元区小国的"前景调整"信息。不论其经济体的规模大小,当某国真实地被调整主权评级时,金融市场反而不会做出明显调整。这证实了投资者的心理预期,即更关注"可能的行动"并做出调整,而对"真实的行动"反应趋于平静。

This paper creates two models, all euro area countries, as well as removed from the Eurozone sovereign ratings data points smaller economies, financial markets in order to observe whether differences exist in response to information from different scale economies. Research shows that the euro zone＇ s sovereign rating events significantly interfere with the CDS spreads and bond yields. However, market participants tend to be more concerned about the ＂watch list＂ of information from a large euro area countries, as well as ＂outlook adjusted＂ information from the small euro area countries. Irrespective of the size of their economies, when a country＇ s sovereign rating is adjusted real financial markets but will not make significant adjustments. This confirms the role of psychological expectations of investors, which is more concerned about the ＂possible action＂ and make adjustments, while the ＂real action＂ response tends to be calm.