Multiple Potential Payers and Sovereign Bond Prices [PDF]
Sovereign bonds are usually priced under the assumption that only the sovereign issuer may be responsible of their repayment. In some cases however, bondholders may legitimately expect to be repaid by more than one agent.
Loredana Ureche-Rangau, Kim Oosterlinck
core
Sovereign Credit Default Swaps and the Macroeconomy [PDF]
The aim of this study is to determine whether the domestic interest rate or the exchange rate affect the sovereign credit default swaps. To date most studies on corporate CDS markets have emphasised the importance of domestic factors such as the interest
Morley, Bruce, Liu, Yang
core
What “Hides” Behind Sovereign Debt Ratings? [PDF]
In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. We employ panel estimation and random effects ordered probit approaches to assess
António Afonso +2 more
core
Banking Union with a Sovereign Virus. The self-serving regulatory treatment of sovereign debt in the euro area. CEPS Policy Brief No. 289, 27 March 2013 [PDF]
, 2013 In many eurozone countries, domestic banks often hold more than 20% of domestic public debt, which is an unsatisfactory situation given that banks are highly leveraged and that sovereign debt is inherently subject to default risk within the euro area ...
Gros, Daniel.
core
Inefficient private renegotiation of sovereign debt [PDF]
The negotiation of sovereign debt repayments and of new loans after default may yield inefficient outcomes that justify intervention by creditor country governments and international financial institutions.
Kletzer, Kenneth M.
core
Government spending shocks and default risk in emerging markets. [PDF]
PLoS One, 2023 Jiang M, Li J.
europepmc +1 more source
Default, currency crises, and sovereign credit ratings [PDF]
Sovereign credit ratings play an important part in determining countries’ access to international capital markets and the terms of that access. In principle, there is no reason to expect that sovereign credit ratings should systematically predict ...
Reinhart, Carmen
core
Modelling sovereign credit ratings and assessing the impartiality: A case study of China. [PDF]
PLoS One, 2023 Su M.
europepmc +1 more source
The Liar equilibrium in naked sovereign CDS trading : a financial economic approach [PDF]
This master's thesis aims at studying the impact of naked sovereign CDS trading by establishing a sequential trading model where the evolution of the market microstructure bid-ask spread is taken into account.
Qiaoyang Zheng
core
Sovereign credit ratings and financial markets linkages: application to European data [PDF]
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor’s, Moody’s, Fitch).
António Afonso +2 more
core +2 more sources