... ratings issued by the Big 3 ratings agencies. Forecasting Credit ratings Big three CDS spread Sovereign credit risk Figure 2. Three-year CDS spreads during the testing period We would like to note certain observations regarding the data. There is no data available on Ireland’s CDS...

... empirical papers are identified and reviewed focusing on time series analysis techniques. Findings The introduction of the euro has caused interest rate convergence among European Monetary Union (EMU) government bond yields. However, now sovereign credit risk and possibly even redenomination risk have...

.... This is especially true for German life insurers. Originality/value The study provides various empirical contributions to the literature on the euro crisis and sovereign credit risk. First, previous results with regard to the structural changes in the long-term relationship between German and Spanish, German...