explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

develop a macro-financial structural model with two novel features. First, we include idiosyncratic and aggregate risk in a …

preserving shock to the variance of aggregate total factor productivity (macro uncertainty) and to the dispersion of …

production and GDP. The peak impact is felt fairly quickly at around 6-12 months after the shock, and becomes statistically …

improved since the mid-1980s; that private investment is mostly influenced by the risk of expropriation, the degree of civil … liberty, and the degree of independence of the bureaucracy; and that economic growth is affected by the risk of expropriation …

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and … equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various … bond and CDS markets and the equity markets. As for price discovery, our results are mixed. This stands in contrast to the …

perceived default risk, bond prices, and haircuts by maturity … than those on debt of longer maturity. In a standard asset pricing model, we show that increasing short-run default risk in …

appetite for risk. It provides an analytical framework for identifying changes in investors'' risk appetite and discusses … contagion and domestic fundamentals as the immediate source of a crisis. Daily measures of risk appetite are computed and their …

fundamentals and/or external variables-have contributed to the surge in external bond issuance by these LICs, which we refer to in … our paper as 'frontier economies'. Using data on public and publicly guaranteed (PPG) external bond issuance, outstanding … PPG bond stock, as well as sovereign spreads, we employ panel data analysis to examine factors related to the increase in …