Results 261 to 270 of about 9,034 (308)

Sovereign Risk Premia [PDF]

open access: possibleSSRN 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
openaire   +2 more sources

COSTLY INFORMATION AND SOVEREIGN RISK

International Economic Review, 2023
AbstractThe 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.
openaire   +2 more sources

Private Overborrowing under Sovereign Risk

Journal of Political Economy Macroeconomics, 2021
This 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 Credit Risk

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.
openaire   +2 more sources

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