Riedel, Christoph; Thuraisamy, Kannan S.; Wagner, Niklas - In: Emerging Markets Review 17 (2013) C, pp. 209-223
We address credit cycle dependent sovereign credit risk determinants. In our model, the spread determinants' magnitude … is conditional on an unobservable endogenous sovereign credit cycle as represented by the underlying state of a Markov … the state of the credit cycle. Crisis states are characterized by high spread change uncertainty and high sensitivities …