• Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress.

      Apergis, Nicholas; Northumbria University (Elsevier, 2015-09-10)
      This study explores the forecasting performance of newswire messages, revealed by newspaper articles, for CDS. Five European countries with sovereign debt problems, daily data spanning the period 2009–2012, and ARIMA and ARIMAX modeling support the superiority of the ARIMAX model.
    • Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes.

      Apergis, Nicholas; Curtin University (Elsevier, 2015-01-09)
      The paper examines the role of newswire messages during the European debt crisis. In particular, this study quantifies how this news metric, revealed by statements electronically recorded, as well as by newspaper articles, affects credit ratings. Through a sample of three European countries with sovereign debt problems and under strict austerity programmes, i.e., Greece, Ireland, and Portugal, daily data spanning the period of 2009 to 2011, and parametric, nonparametric and ordered probit panel methodologies, the obtained results document that the news variable significantly affects credit ratings, particularly when news comes from market sources but less so when the news is from politicians.