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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 M.; 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/10008857043

Special issue: Global liquidity

Aizenman, Joshua (contributor); … - 2009

Persistent link: https://www.econbiz.de/10003875672

Understanding global liquidity in a volatile world

Aizenman, Joshua; Chinn, Menzie David; Hutchison, Michael M. - In: Review of international economics 17 (2009) 4, pp. 651-654

Persistent link: https://www.econbiz.de/10003875677

What is the risk of European sovereign debt defaults? : fiscal space, CDS spreads and market pricing of risk

Aizenman, Joshua; Hutchison, Michael M.; Jinjarak, Yothin - 2011

Persistent link: https://www.econbiz.de/10009312766

What is the risk of European sovereign debt defaults? : fiscal space, CDS spreads and market pricing of risk

Aizenman, Joshua; Hutchison, Michael M.; Jinjarak, Yothin - In: Journal of international money and finance 34 (2013), pp. 37-59

Persistent link: https://www.econbiz.de/10009751131

What is the risk of European sovereign debt defaults? : fiscal space, CDS spreads and market pricing of ristk

Aizenman, Joshua; Hutchison, Michael M.; 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...