tailieunhanh - SOVEREIGN CREDIT RATINGS AND FINANCIAL MARKETS LINKAGES APPLICATION TO EUROPEAN DATA

Interestingly, most of the evidence tends to suggest a strong impact from housing prices to credit than from credit to housing prices. In this respect recent evidence has also shown that subprime credit activity did not seem to have had much impact per se on subsequent housing price returns, as shown by Coleman et al. (2009) for the United States. On the other hand, securitization seems to have strengthened the impact of housing prices on mortgage credit (as shown by Carbó and Rodriguez, 2010 for Spain). This latter factor seems to be particularly important in light of. | EUROPEAN CENTRAL BANK EUROSYSTEM MACROPRUDENTIAL RESEARCH NETWORK WORKING PAPER SERIES NO 1347 I JUNE 2011 . . -. SOVEREIGN CREDIT RATINGS AND FINANCIAL MARKETS LINKAGES APPLICATION TO EUROPEAN DATA Í7 by António Afonso Davide Furceri and Pedro Gomes EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 1347 I JUNE 2011 MACROPRUDENTIAL RESEARCH NETWORK SOVEREIGN CREDIT RATINGS AND FINANCIAL MARKETS LINKAGES APPLICATION TO EUROPEAN DATA 1 2 3 4 5 by António Afonso 2 3 Davide Furceri 4 5 and Pedro Gomes 6 NOTE This Working Paper should not be reported as representing the views of the European Central Bank ECB . The views expressed are those of the authors and do not necessarily reflect those of the ECB. In 2011 all ECB publications feature a motif taken from the 100 banknote. This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 1847505. We are grateful to Jakob de Haan João Duque Ad van Riet to participants in a conference at the University of Freiburg at seminars at the University of Bielefeld and at ISEG UTL - Technical University of Lisbon to a ECB WP Series anonymous referee for useful comments and to Alexander Kockerbeck Nicole Koehler Moritz Kraemer David Riley and Robert Shearman for help in providing us with the sovereign credit rating data. The opinions expressed herein are those of the authors and do not necessarily reflect those of the ECB or the Eurosystem the OECD or its member countries. 2 ISEG UTL - Technical University of Lisbon Department of Economics UECE - Research Unit on Complexity and Economics. UECE is supported by FCT Fundaẹão para a Ciência e a Tecnologia Portugal e-mail aafonso@ 3 European Central Bank Directorate General Economics Fiscal Policies Division Kaiserstrasse 29 D-60311 Frankfurt am Main Germany e-mail 4 OECD Department of Economics 2 Rue André-Pascal 75775 Paris France e-mail .