Results 11 to 20 of about 274,647 (299)
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
Dockner, Engelbert J. +2 more
core +7 more sources
How Sovereign is Sovereign Credit Risk? [PDF]
American Economic Journal: Macroeconomics, 2011 We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly correlated, with just three principal components accounting for more ...
Francis A. Longstaff +3 more
core +5 more sources
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 +3 more
openaire +8 more sources
Sovereign Risk and Secondary Markets [PDF]
American Economic Review, 2006 Conventional wisdom says that, in the absence of sufficient default penalties, sovereign risk constrains credit and lowers welfare. We show that this conventional wisdom rests on one implicit assumption: that assets cannot be retraded in secondary ...
Alberto Martin +2 more
core +11 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
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
openaire +2 more sources
The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers [PDF]
SSRN Electronic Journal, 2017 European banks are exposed to a substantial amount of risky sovereign debt. The “missing bank capital” resulting from the zero-risk weight exemption for European banks for European sovereign debt amplifies the co-movement between sovereign CDS spreads and facilitates cross-border financial-crisis spillovers.
Kirschenmann, Karolin +2 more
openaire +3 more sources
Finance and Society, 2023 European financial regulation consistently gives governments privileged access to private investors, reflecting the anchor role assigned to sovereign securities as safe and liquid assets for the financial system.
Ad van Riet
doaj +1 more source
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 +1 more source
Bond Yields, Sovereign Risk and Maturity Structure
Risks, 2018 The aim of this paper is to analyze the relation between maturity structure, sovereign bond yields and sovereign risk in the Economic and Monetary Union for the period of 1990–2013.
Marcos González-Fernández +1 more
doaj +1 more source