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Risk spillovers between global corporations and Latin American sovereigns : global factors matter
Gómez González, José Eduardo; Uribe, Jorge; … - 2022
This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...
Persistent link: https://www.econbiz.de/10014495999
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Sudden stops, sovereign risk, and fiscal rules
Gómez González, José Eduardo; Valencia, Oscar M.; … - 2021
This paper studies the effect of implementing fiscal rules on sovereign default risk and on the probability of large capital ow reversals for a large sample of countries including both developed and emerging market economies. Results indicate that fiscal rules are beneficial for macroeconomic...
Persistent link: https://www.econbiz.de/10012586437
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Local stress index and capital flows at risk in ASEAN-4 and Korea
Tan, Anthony - 2022
Persistent link: https://www.econbiz.de/10014329175
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Sovereign risk and asset market dynamics in the euro area
Perego, Erica - 2018
Persistent link: https://www.econbiz.de/10012060383
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Seigniorage and sovereign default : the response of emerging markets to COVID-19
Espino, Emilio; Kozlowski, Julian; Martin, Fernando M.; … - 2020
Persistent link: https://www.econbiz.de/10012306883
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News, sovereign debt maturity, and default risk
Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2018
estimation, a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor … and a variance decomposition similar to the empirical VAR estimates. The dynamics of the economy after a bad news shock … share some features of a productivity shock and others of sudden stop events. However, unlike episodes of sudden stops, long …
Persistent link: https://www.econbiz.de/10011950496
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Deadly debt crises : COVID-19 in emerging markets
Arellano, Cristina; Bai, Yan; Mihalache, Gabriel - 2021 - Current version April 2021
Persistent link: https://www.econbiz.de/10012606975
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Reserve accumulation, macroeconomic stabilization, and sovereign risk
Bianchi, Javier; Sosa Padilla, César - 2020
Persistent link: https://www.econbiz.de/10012244079
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Resource curse or blessing? : sovereign risk in resource-rich emerging economies
Hamann S., Franz A.; Mendoza, Enrique G.; … - 2018
In this paper we document the stylized facts about the relationship between international oil price swings, sovereign risk and macroeconomic performance of oil-exporting economies. We show that even though being a bigger oil producer decreases sovereign risk–because it increases a...
Persistent link: https://www.econbiz.de/10011950480
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Monetary policy and sovereign risk in emerging economies (NK-default)
Arellano, Cristina; Bai, Yan; Mihalache, Gabriel - 2019
Persistent link: https://www.econbiz.de/10012203955