The impact of sovereign credit rating changes on government bond yields in South Africa

The impact of sovereign credit rating changes on government bond yields in South Africa

This study applies an event study analysis on Standard & Poor’s
(S&P), Fitch and Moody’s sovereign credit ratings for South Africa over the
period 2007 to 2018 to investigate the impact of long-term foreign currency
sovereign credit ratings changes on 30-year sovereign bond yield.