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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10012792718
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10013311583
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Zhanwei; Zakrajsek, Egon - 2022
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10013307231
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Stigma or cushion? : IMF programs and sovereign creditworthiness
Gehring, Kai; Lang, Valentin - 2018
IMF programs are often considered to carry a "stigma" that triggers adverse market reactions. We show that such a negative IMF effect disappears when accounting for endogenous selection into programs. To proxy for a country's access to financial markets, we use credit ratings and investor...
Persistent link: https://www.econbiz.de/10011931328
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Sovereign Uncertainty
Silgado-Gómez, Edgar - 2020
This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...
Persistent link: https://www.econbiz.de/10012846834
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2023
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10014351701
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Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
Baum, Christopher F. - 2016
This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...
Persistent link: https://www.econbiz.de/10013003953
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In Sickness and in Debt : The COVID-19 Impact on Sovereign Credit Risk
Augustin, Patrick - 2020
explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we … find a positive and significant sensitivity of sovereign default risk to the intensity of the virus' spread for fiscally …
Persistent link: https://www.econbiz.de/10012832689
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Euro Crisis : From the Sovereigns to the Banks and Back to the Sovereigns
Gurdgiev, Constantin - 2011
The global financial crisis of 2007-2009 crystallized the underlying imbalances that are currently acting to tear apart the Euro area monetary and fiscal systems by focusing markets and public attention on the core cause of the overall Euro crisis, the insolvency of the Euro area member-states...
Persistent link: https://www.econbiz.de/10013122727
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
sovereign risk factor, a European sovereign risk factor and a Financial intermediaries risk factor. Our main findings are as …
Persistent link: https://www.econbiz.de/10011731038