Using data from 15 countries in the Eurozone from 2005 to 2016 as the basis of the research and applying an event study method and a fixed-effect panel data model, this study explored the effects of sovereign credit ratings on the credit default swap ( CDS) market in the Eurozone and its spillover effect. The results showed that sovereign credit ratings had a significant information and certification effect on financial markets, while the regulatory effect of the ratings was not found to be significant. Furthermore, the findings suggested that the main spillover channel in the Eurozone was inter-bank business relationships, rather than international trade. Specifically, a vulnerable banking system may amplify the market's response to downgrade sovereign credit ratings. The conclusions of the study provide a better understanding of the mechanisms behind the influence of sovereign credit ratings on the market, as well as useful experiences and lessons that can be used to guide Chinese policy to reduce the risks and problems associated with the downgrading of sovereign credit ratings.%以欧元区15个国家2005～2016年的数据为对象, 运用事件研究法和面板固定效应模型, 研究了主权信用评级对欧元区信用违约互换 (CDS) 市场影响和溢出效应.结果表明, 主权评级对金融市场存在显著的"信息"和"认证"效应, 而"监管"效应不显著.进一步, 发现欧元区的主要溢出渠道是银行间的业务关联, 而不是国际贸易.同时, 一个脆弱的银行体系, 可能会放大市场对降级的反应.研究结论有助于明晰主权评级对市场的影响机制, 为中国预防主权降级带来的风险和问题, 汲取有益的经验和教训.
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