CDS spreads predict credit rating changes, impacting EU countries during crises.
The article examines how credit ratings and credit default swaps were affected during the European Debt Crisis. The researchers found that credit default swap spreads could predict positive rating events 2-3 months in advance, while negative events were only anticipated 1-2 months ahead. They also observed changes in CDS spreads and credit rating events after the crisis. Additionally, changes in CDS spreads were effective in predicting future credit rating events.