Results 1 to 10 of about 9,034 (308)
A Study on the Transnational Spillover Effects of Bank Risk and Sovereign Risk–From the Perspective of COVID-19 Epidemic Situation [PDF]
Frontiers in Public Health, 2022 In recent years, the world economy and the global financial system have closely intertwined, deepened economic and financial integration via cross-border investments, financings, imports, and exports.
Liqin Hu +5 more
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Exchange Rates and Sovereign Risk [PDF]
Management Science, 2021 An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global ...
Pasquale Della Corte +3 more
openalex +8 more sources
Sovereign risk and bank fragility [PDF]
SSRN Electronic Journal, 2020 We develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects and purchase government bonds. While an increase in bond purchases crowds out profitable investments, it improves the government's incentives to repay and therefore lowers its borrowing costs.
Kartik Anand, Jochen Mankart
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African sovereign risk premia and international market assets: A relook under the COVID-19 outbreak [PDF]
HeliyonUsing the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023.
Godfred Amewu +2 more
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How Sovereign Is Sovereign Credit Risk? [PDF]
American Economic Journal: Macroeconomics, 2011 We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the US stock and high-
Longstaff, Francis A. +3 more
+6 more sources
Sovereign Risk and Financial Risk [PDF]
SSRN Electronic Journal, 2021 This paper examines the relationship between sovereign bond spreads, local economic activity, and global financial risk. We use secondary-market prices of dollar-denominated sovereign securities to construct yield spreads between sovereign bond yields and yields on the appropriately defined default risk-free securities, constructed using zero-coupon U ...
Gilchrist, Simon +3 more
openaire +2 more sources
The Assessment of Climate Risk Impact on the Economy: A Panel Data Approach [PDF]
Amfiteatru Economic, 2022 In this paper, we investigate how climate risk impacts the sovereign risk, the stock market evolution, and the degree of competitiveness, starting from the macroeconomic and financial effects globally produced by climate change. Using both quantile and
Teodora Cristina Barbu +3 more
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COUNTRY RISK AND POLITICAL INSTABILITY: A VUCA WORLD APPROACH [PDF]
Annals of the University of Oradea: Economic Science, 2023 The last three years were characterized by a climate of drastic change due to a cumulus of disturbances and crises, namely the COVID-19 pandemic, inflation, energy crisis, military conflicts, banking fragilities, populism, disinformation, and the idea ...
Ioana-Sorina ANDREICA (MIHUT) +1 more
doaj +1 more source
SSRN Electronic Journal, 2014 We provide a new measure of sovereign country risk exposure (SCRE) to global sovereign tail risk based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE.
Germán López-Espinosa +3 more
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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
doaj +1 more source