Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?

Hervé Alexandre (1) , François Guillemin (2) , Catherine Refait-Alexandre (2)

1 DRM - Dauphine Recherches en Management
2 CRESE - Centre de REcherches sur les Stratégies Economiques (UR 3190)

This paper investigates the relationship between disclosure and bank CDS spread during the sovereign debt crisis over the period 2011-2013. We cumulated the evolution of the spread of CDS on 4 different timeframes. We modeled two transparency index: one global and one specifically dedicated to sovereign exposure. We obtained significant results on the impact of targetted sovereign disclosure on the evolution of the CDS spreads, while the global index have not significant impact on the evolution of the CDS spread.

Mots clés: Bank; Sovereign crisis; Disclosure; CDS

Domaines: Gestion et management

Hervé Alexandre, François Guillemin, Catherine Refait-Alexandre. Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?. 32es Journées de Microéconomie Appliquée - JMA 2105, Jun 2015, Montpellier, France. pp.52. ⟨hal-01622782⟩