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Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph - 2019

foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 … to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major … and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our …

Persistent link: https://www.econbiz.de/10012159952

Dealing with risk : underwriting sovereign bond issues in London 1870 - 1914

Mikkelsen, Anders L. - 2014

Using the records of several leading 19th century issuing houses, this paper analyses the transformation of underwriting practices in London's primary sovereign bond market from 1870 to 1914. It shows how underwriting risk developed from being a liability, which market intermediaries sought to...

Persistent link: https://www.econbiz.de/10010358271

State dissolution, sovereign debt and default: lessons from the UK and Ireland

Foley-Fisher, Nathan; McLaughlin, Eoin - 2014 - This draft: August 2014; First draft: March 2014

uncertainty about fiscal responsibility in the aftermath of the sovereign breakup. We document that Irelandś default on …

Persistent link: https://www.econbiz.de/10010390083

Bonds and Brands : Foundations of Sovereign Debt Markets, 1820-1830

Flandreau, Marc - 2010

How does sovereign debt emerge? In the early nineteenth century, intermediaries' market power and prestige served to overcome information asymmetries. Relying on insights from finance theory, we argue that capitalists turned to intermediaries' reputations to guide their investment strategies....

Persistent link: https://www.econbiz.de/10013149266

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

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

What “hides” behind sovereign debt ratings?

Afonso, António; Gomes, Pedro; Rother, Philipp - 2007

effectiveness indicators, external debt, external reserves, and default history. …

Persistent link: https://www.econbiz.de/10011604757

How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange

Alquist, Ron (contributor) - 2008

This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...

Persistent link: https://www.econbiz.de/10003790566

How connected is the global sovereign credit risk network?

Bostancı, Gorkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the …

Persistent link: https://www.econbiz.de/10011326149

An analysis of Romania's short-run sovereign rating determinants

Miricescu, Emilian Constantin - In: Romanian journal of fiscal policy : RJFP 3 (2012) 2, pp. 48-57

For most European Union countries the government expenditure exceeds government revenue which could lead in the long run to an increase in the government debt to GDP ratio. Considering the distortions generated by the financial and economic crisis, followed by the debt crisis, both local and...

Persistent link: https://www.econbiz.de/10010199903

How Important is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange

Alquist, Ron - 2010

Persistent link: https://www.econbiz.de/10013135204

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