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The ‘Hidden Cost’ of Sustainable Debt Financing in Emerging Markets
Rickman J, Kothari S, Ameli N.
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COSTLY INFORMATION AND SOVEREIGN RISK
International Economic Review, 2023AbstractThe consequences of costly information acquisition for sovereign risk are explored in a quantitative sovereign default model. We identify information costs empirically using Bloomberg news‐heat data. The calibrated model microfounds heteroskedasticity in the country risk spread as measured by a novel metric we call the Crisis Volatility Ratio ...
Gu, Grace Weishi, Stangebye, Zachary R.
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SSRN Electronic Journal, 2011 Emerging countries tend to default when their economic conditions worsen. If bad times in an emerging country correspond to bad times for the US investor, then these foreign sovereign bonds are particularly risky and should offer high returns. We explore how this mechanism plays out in the data and in a general equilibrium model of optimal borrowing ...
Adrien Verdelhan, Nicola Borri
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Private Overborrowing under Sovereign Risk
Journal of Political Economy Macroeconomics, 2021This paper proposes a quantitative theory of the interaction between private and public debt in an open economy. Excessive private debt increases the frequency of financial crises. During such crises the government provides fiscal bailouts financed with risky public debt.
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Sovereign Risk and Economic Complexity
This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this effect is largely non-significant for maturities under threeJose E. Gomez-Gonzalez +2 more
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2015
Credit rating agencies perform an important service to capital markets by collecting and disseminating information about the (relative) credit quality of potential borrowers and risks associated with their debt instruments. They facilitate the creation of liquidity, an important feature of corporate and sovereign bond markets.
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Credit rating agencies perform an important service to capital markets by collecting and disseminating information about the (relative) credit quality of potential borrowers and risks associated with their debt instruments. They facilitate the creation of liquidity, an important feature of corporate and sovereign bond markets.
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2020
Starting in the mid-1970s, an increasing number of economists began using the term “country risk” to refer to “sovereign risk” (see Chap. 1). At the time of this writing, that confusion has not yet completely dissipated and so the two terms are sometimes used interchangeably. This chapter focuses on what is known as “type-3 country risk” (CR3)—in other
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Starting in the mid-1970s, an increasing number of economists began using the term “country risk” to refer to “sovereign risk” (see Chap. 1). At the time of this writing, that confusion has not yet completely dissipated and so the two terms are sometimes used interchangeably. This chapter focuses on what is known as “type-3 country risk” (CR3)—in other
openaire +1 more source
Sovereign Risk and Financial Risk [PDF]
, 2012 This paper examines the evidence on the relationship between sovereign bond spreads, economic activity, and global financial risk. Using an extensive data set of prices of outstanding sovereign bonds trading in the secondary market, we construct a comprehensive country index for sovereign bond spread dataset.
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Sovereign risk and financial risk
Journal of International Economics, 2022Egon Zakrajšek +2 more
exaly