Results 1 to 10 of about 746,632 (385)
Tail event-based sovereign credit risk transmission network during COVID-19 pandemic [PDF]
Finance Research Letters, 2022 This paper investigates the interconnectedness between sovereign credit risk based on the tail event and network dynamics technique. Specifically, we examine the interdependence in upper tails of sovereign credit default swap in the case of fifteen most ...
Nader Naifar +1 more
exaly +3 more sources
Does climate change affect sovereign credit risk? International evidence
Borsa Istanbul Review, 2023 This paper fills a crucial research gap by investigating the connection between climate change and sovereign credit risk. While the economic implications of climate risk have long been acknowledged, limited attention has been given to understanding its ...
Nader Naifar
exaly +4 more sources
Borsa Istanbul Review, 2020 This study aims to shed light on the co-movement of sovereign credit risk and economic risk in Turkey using the Toda–Yamamoto causality, Gradual Shift causality, and Wavelet Coherence tests.
Dervis Kirikkaleli, Korhan K Gokmenoglu
exaly +4 more sources
Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work? [PDF]
Entropy, 2020 The purpose of the paper is to investigate the relationship between sovereign Credit Default Swap (CDS) and stock markets in nine emerging economies from Central and Eastern Europe (CEE), using daily data over the period January 2008−April 2018 ...
Sorin Gabriel Anton +1 more
doaj +3 more sources
Sustainability and sovereign credit risk
International Review of Financial Analysis, 2023 The study investigates the impact of Environmental, Social, and Governance (ESG) ratings on sovereign credit risk. The study measures sovereign credit risk using a market-based, structural and an analyst-based approach, while ESG scores are obtained from three different rating agencies. The contributions of this paper are multifold.
Rosanne Vanpee, Igor Loncarski
exaly +3 more sources
The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence. [PDF]
Econ Model, 2022 Many recent studies investigate the economic effect of the COVID-19 pandemic in multiple aspects, while whether and how the sovereign credit risk reacts to the shock is still underexplored.
Hao X, Sun Q, Xie F.
europepmc +2 more sources
Modelling sovereign credit ratings and assessing the impartiality: A case study of China. [PDF]
PLoS ONE, 2023 The post-COVID-19 era presents a looming threat of global debt, elevating concerns regarding sovereign credit ratings worldwide. This study develops a new index system, divides the rating variables into long- and short-term factors, performs rating ...
Min Su
doaj +2 more sources
The relationship between sovereign credit rating changes and firm risk [PDF]
Heliyon, 2023 Sovereign credit ratings, extensively studied for their influence on macroeconomics and country risk, have been less explored in the context of their impact on individual firms.
Chong-Chuo Chang +3 more
doaj +2 more sources
In sickness and in debt: The COVID-19 impact on sovereign credit risk. [PDF]
J financ econ, 2022 The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country’s fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk.
Augustin P +3 more
europepmc +2 more sources
Sovereign credit ratings during the COVID-19 pandemic. [PDF]
Int Rev Financ Anal, 2021 Using 603 sovereign rating actions by the three leading global rating agencies between January 2020 and March 2021, this paper shows that the severity of sovereign ratings actions is not directly affected by the intensity of the COVID-19 health crisis ...
Tran Y +4 more
europepmc +2 more sources