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Contagion of fear : is the impact of COVID-19 on sovereign risk really indiscriminate?

Cevik, Serhan; Öztürkkal, Belma - 2020

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...

Persistent link: https://www.econbiz.de/10012392655

The long-run impact of sovereign yields on corporate yields in emerging markets

Li, Delong; Magud, Nicolas; Werner, Alejandro M.; … - 2021

We analyze the long-run impact of emerging-market sovereign bond yields on corporate bond yields, finding that the average pass-through is around one. The pass-through is larger in countries with greater sovereign risks and where sovereign bonds are more liquid. It is also greater for corporate...

Persistent link: https://www.econbiz.de/10012612337

Sovereign Spreads : Global Risk Aversion, Contagion or Fundamentals?

Segoviano Basurto, Miguel A. - 2010

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper …

Persistent link: https://www.econbiz.de/10014402913

Volatility and Jump Risk Premia in Emerging Market Bonds

Matovu, John - 2007

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and …

Persistent link: https://www.econbiz.de/10014400896

Are rating agencies powerful? : an investigation into the impact and accuracy of sovereign ratings

Kiff, John; Nowak, Sylwia; Schumacher, Liliana - 2012

Persistent link: https://www.econbiz.de/10009423922

Are Rating Agencies Powerful? : An Investigation Into the Impact and Accuracy of Sovereign Ratings

Kiff, John - 2012

We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CRAs perform reasonably well when it comes to rank ordering default risk among...

Persistent link: https://www.econbiz.de/10014412163

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A. - 2004

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 pressures that arise in the market. In most countries,...

Persistent link: https://www.econbiz.de/10014404117

Sovereign CDS spreads in Europe : the role of global risk aversion, economic fundamentals, liquidity, and spillovers

Heinz, Frigyes Ferdinand; Sun, Yan - 2014

Persistent link: https://www.econbiz.de/10010389499

Sovereign CDS Spreads in Europe : The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers

Heinz, Frigyes - 2014

By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European countries’ sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity conditions in the CDS market. But the relative...

Persistent link: https://www.econbiz.de/10014394327

Inflation targeting and country risk : an empirical investigation

Fouejieu A., Armand; Roger, Scott - 2013

Persistent link: https://www.econbiz.de/10009707565

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