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Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis
Aizenman, Joshua - 2013
This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...
Persistent link: https://www.econbiz.de/10012459536
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Credit Ratings and the Pricing of Sovereign Debt During the Euro Crisis
Aizenman, Joshua - 2013
This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...
Persistent link: https://www.econbiz.de/10013080412
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Emerging markets sovereign CDS spreads during COVID-19 : economics versus epidemiology news
Daehler, Timo B.; Aizenman, Joshua; Jinjarak, Yothin - In: Economic modelling 100 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10012795845
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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
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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 M.; Jinjarak, Yothin - 2011
, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the "matched" countries in 2010, even allowing …
Persistent link: https://www.econbiz.de/10009272067
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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
, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the matched countries in 2010, even allowing for …
Persistent link: https://www.econbiz.de/10010287785
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Credit ratings and the pricing of sovereign debt during the euro crisis
Aizenman, Joshua; Binici, Mahir; Hutchison, Michael M. - In: Oxford review of economic policy 29 (2013) 3, pp. 582-609
Persistent link: https://www.econbiz.de/10010344446
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Credit ratings and the pricing of sovereign debt during the euro crisis
Aizenman, Joshua; Binici, Mahir; Hutchison, Michael M. - 2013
Persistent link: https://www.econbiz.de/10009766969
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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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What is the risk of European sovereign debt defaults? Fiscal space, CDS spreads and market pricing of risk
Aizenman, Joshua; Hutchison, Michael; Jinjarak, Yothin - In: Journal of International Money and Finance 34 (2013) C, pp. 37-59
economic fundamentals over 2005–10. We focus in particular on five countries in the South-West Eurozone Periphery, Greece …, Ireland, Italy, Portugal and Spain. Dynamic panel estimates show that fiscal space and other macroeconomic factors are … statistically and economically important determinants of sovereign risk. However, risk-pricing of the Eurozone Periphery countries …
Persistent link: https://www.econbiz.de/10011048536