The Impacts of Sovereign Credit Ratings on Exchange Rates-Evidence from Eurozone Sovereign Debt Crisis
This paper examines the impacts of Eurozone sovereign credit rating announcements by three leading rating agencies on exchange rates from January 1, 2009 to March 31, 2011. Firstly we report the mean and volatility of USD/EUR in response to Eurozone sovereign rating news. Secondly, thanks to the high integration in Europe, we extend our analysis to the movement of USD/SEK in order to see how non-E
