Abstract
The aim of the chapter entitled ‘Evaluation of the impact of credit rating agencies decisions on the market of treasury debt securities’ is to evaluate the impact of the Standard&Poor’s, Moody’s and Fitch key decisions on the market of treasury debt securities in selected 14 EU member states. The research problem which the paper deals with comes down to the issue of establishing the impact of the rating agency decisions regarding downgrade or upgrade rating for 10-year treasury bond yields in the countries examined. To this purpose, the following research hypotheses were verified: (i) The higher the rating is, the greater the convergence of time series for 10-year treasury bond yields is, (ii) Decisions of Standard&Poor’s rating agency have the greatest impact on 10-year treasury bond yields. Verification of the above hypotheses was carried out with the use of literature-based discussion and the classical linear regression model where 10-year treasury bond yield was the dependent variable and the rating agency decision was the independent variable. Moreover, ANOVA analysis of variance was applied.
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Szelągowska, A., Staszkiewicz, P. (2019). Evaluation of the Impact of Credit Rating Agencies Decisions on the Market of Treasury Debt Securities. In: Procházka, D. (eds) Global Versus Local Perspectives on Finance and Accounting. ACFA2018 2018. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-11851-8_14
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