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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 … determinant of market-based sovereign risk, and find evidence of mispricing in PIIGS given current fiscal space and other current … Europe that, before the crisis (2007), were closest in terms of fiscal space (debt/tax). We find that PIIGS default risk is …

Persistent link: https://www.econbiz.de/10008857043

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 … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

Persistent link: https://www.econbiz.de/10009272067

Central Bank Swap Arrangements in the COVID-19 Crisis

Aizenman, Joshua; Itō, Hiro; Pasricha, Gurnain Kaur - National Bureau of Economic Research - 2021

Facing acute strains in the offshore dollar funding markets during the COVID-19 crisis, the Federal Reserve (Fed) implemented measures to provide US dollar liquidity by reinforcing swap arrangements with five major central banks, reactivating them with nine other central banks and establishing a...

Persistent link: https://www.econbiz.de/10012496139