Showing 1 - 10 of 341,541
This paper studies how institutional factors affect the size and currency composition of government bonds for a large sample of economies. Important for the debate on limiting financial crises, we find that less flexible exchange rate regimes are associated with larger foreign currency bond...
Persistent link: https://www.econbiz.de/10014088445
This paper investigates the impact of international political risk on government bond yields in 34 debtor countries using a comprehensive database of 109 international political crises from 1988 through 2007. After employing the total number of international political crises as a proxy for...
Persistent link: https://www.econbiz.de/10012938377
While the idea of governments issuing financial instruments whose repayments are indexed to gross domestic product (GDP) is not new, the current global backdrop of high sovereign debt coupled with low interest rates and weak and uncertain nominal growth prospects suggests the case for doing so...
Persistent link: https://www.econbiz.de/10012981190
We examine the determinants of spreads based on views regarding sovereign riskiness. The empirical analysis relies on panel data estimation techniques for 30 sovereign bonds for the period of 2009Q1 to 2017Q1, with data in quarterly frequency. We find that indeed there is a wide asymmetry in the...
Persistent link: https://www.econbiz.de/10013492534
This paper will employ the concept of human security as a proxy for measuring the country risk component of frontier market bond credit spreads. A secondary goal is to propose several specific markers of human security and assess how they might perform together as measures of risk
Persistent link: https://www.econbiz.de/10013110623
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...
Persistent link: https://www.econbiz.de/10011731038
While the idea of governments issuing financial instruments whose repayments are indexed to gross domestic product (GDP) is not new, the current global backdrop of high sovereign debt coupled with low interest rates and weak and uncertain nominal growth prospects suggests the case for doing so...
Persistent link: https://www.econbiz.de/10012982491
We study how shifting global macroeconomic conditions affect sovereign bond prices. Bondholders earn premia for two sources of systematic risk: exposure to low-frequency changes in the state of the economy, as captured by expected macroeconomic growth and volatility, and exposure to...
Persistent link: https://www.econbiz.de/10012852492
The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a country's fiscal capacity in explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we find a positive and significant sensitivity of...
Persistent link: https://www.econbiz.de/10012832689
This paper investigates how a country's economic complexity influences its sovereign yield spread with respect to the United States. Notably, a one-unit increase in the Economic Complexity Index is associated with a reduction of about 87 basis points in the 10-year yield spread. However, this...
Persistent link: https://www.econbiz.de/10014536288