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What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of ristk
Aizenman, Joshua; Hutchison, Michael; Jinjarak, Yothin - 2011
We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other economic fundamentals over 2005-10. We measure how accurately the model predicts sovereign credit default swap (CDS) spreads, focusing in particular on the five countries in the...
Persistent link: https://www.econbiz.de/10010287785
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What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market mispricing of risk
Aizenman, Joshua; Hutchison, Michael; Jinjarak, Yothin - 2011
We estimate the pricing of sovereign risk for a large number of countries within and outside of Europe, before and after the global financial crisis, based on fiscal space and other economic fundamentals. We measure how accurately the model predicts CDS spreads based on fundamentals, and...
Persistent link: https://www.econbiz.de/10010288119
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On emerging economy sovereign spreads and ratings
Powell, Andrew; Martínez, Juan Francisco - 2008
This paper analyzes alternative models for emerging sovereign ratings. Although a small number of economic fundamentals … explain ratings reasonably well, variations in those economic fundamentals are themselves explained by a small number of world … explain the significant spread compression at the end of 2006. To determine whether ratings matter for spreads, the paper …
Persistent link: https://www.econbiz.de/10010278198
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Do credit rating agencies add value? Evidence from the sovereign rating business institutions
Cavallo, Eduardo A.; Powell, Andrew; Rigobón, Roberto - 2008
changes may be anticipated, testing whether ratings add value is not straightforward. This paper argues that ratings and … spreads are both noisy signals of fundamentals and suggest ratings add value if, controlling for spreads, they help explain … other variables. The paper additionally analyzes the different actions (ratings and outlooks) of the three leading agencies …
Persistent link: https://www.econbiz.de/10010278306
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Measuring Sovereign Contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2012
This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several …
Persistent link: https://www.econbiz.de/10012143793
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Cross-country co-movement in long-term interest rates: A DSGE approach
Chin, Michael; Filippeli, Thomai; Theodoridis, Konstantinos - 2015
Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...
Persistent link: https://www.econbiz.de/10011380979
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The stock of external sovereign debt: Can we take the data at 'face value'?
Dias, Daniel A.; Richmond, Christine; Wright, Mark L. J. - 2014
The stock of sovereign debt is typically measured at face value. Defined as the undiscounted sum of future principal repayments, face values are misleading when debts are issued with different contractual forms or maturities. In this paper, we construct alternative measures of the stock of...
Persistent link: https://www.econbiz.de/10011460663
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A note concerning government bond yields
Akram, Tanweer - 2020
This paper relates Keynes's discussions of money, the state theory of money, financial markets, investors' expectations, uncertainty, and liquidity preference to the dynamics of government bond yields for countries with monetary sovereignty. Keynes argued that the central bank can influence the...
Persistent link: https://www.econbiz.de/10012610205
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When good intentions pave the road to hell: Monetization fears and Europe's narrowing options
Terzi, Andrea - 2014
With the creation of the Economic and Monetary Union and the euro, the national government debt of eurozone member-states became credit sensitive. While the potentially destabilizing impact of adverse cyclical conditions on credit-sensitive debt was seriously underestimated, the design was...
Persistent link: https://www.econbiz.de/10010513027
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Academic scholarship in light of the 2008 financial crisis: Textual analysis of NBER Working Papers
Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020
Textual analysis of the NBER Working Papers published during 1999-2016 is done to assess the effects of the 2007-2009 crisis on the academic literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...
Persistent link: https://www.econbiz.de/10012387266