This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same … verified. Then, we examine whether the non-stationary CDS and bond spreads series are bound by a cointegration relationship …. Overall the cointegration analysis confirms that the two prices should be equal to each other in equilibrium, as theory …

injections. We apply the framework to European banks vulnerable to sovereign risk in 2010 and 2011 …

This paper tests several competing models of municipal bond market equilibrium. It analyzes the influence of changes in …

foreign real bonds. Bonds matter: in equilibrium, investors structure their bond portfolio to hedge real exchange rate risk … since relative bond returns are strongly correlated with real exchange rate movements. Equity home bias does not arise from … against other sources of risk, conditionally on bond returns. We estimate the optimal equity and bond portfolios implied by …

When all financial assets have risky returns, the mean-variance portfolio model is potentially subject to two types of …-variance portfolio choice model which is not affected by either type of bliss point …

first present a model of endogenous sovereign debt defaults, where we show that reserve accumulation through the issuance of … confirm this model prediction when taking the theory to the data. These results suggest that attention should be placed on the …

We review the literature on sovereign debt. We organize our survey around three central questions: (1) Why do sovereign … debtors ever repay their debts? (2) What burdens, in the form of distortions and inefficiencies, does sovereign debt impose … literature has asked whether sovereign debtors tend to borrow too much or too little, and how debt can distort the domestic …