Results 1 to 10 of about 15,046 (302)
Exchange Rates and Sovereign Risk [PDF]
Management Science, 2022 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 +2 more
exaly +6 more sources
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
doaj +2 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
doaj +3 more sources
Sovereign Bond Risk Premiums [PDF]
SSRN Electronic Journal, 2013 Credit risk has become an important factor driving government bond returns. We therefore introduce an asset pricing model which exploits information contained in both forward interest rates and forward CDS spreads. Our empirical analysis covers euro-zone countries with German government bonds as credit risk-free assets.
Dockner, Engelbert J. +2 more
openaire +6 more sources
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
doaj +2 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
doaj +3 more sources
THE SOVEREIGN DEBT CHALLANGE: AN OVERVIEW [PDF]
Annals of the University of Oradea: Economic Science, 2011 Recent years have seen profound changes in country risk and its components, in the context of crises multiplication and diversification; the sovereign risk, a main country risk component, has undergone important changes, mainly given by mutations in its ...
Pop Stanca +2 more
doaj +1 more source
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
doaj +1 more source