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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2022
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...
Persistent link: https://www.econbiz.de/10014239716
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Zhanwei; Zakrajsek, Egon - 2022
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...
Persistent link: https://www.econbiz.de/10013307231
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...
Persistent link: https://www.econbiz.de/10013311583
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2023
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...
Persistent link: https://www.econbiz.de/10014351701
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Credit risk in the euro area
Gilchrist, Simon; Mojon, Benoît - 2014
Persistent link: https://www.econbiz.de/10010353423
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Credit risk in the euro area
Gilchrist, Simon; Mojon, Benoît - 2014
Persistent link: https://www.econbiz.de/10010356911
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The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk
Gilchrist, Simon; Zakrajšek, Egon - In: Journal of money, credit and banking : JMCB 45 (2013), pp. 29-57
Persistent link: https://www.econbiz.de/10010344557
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Credit Risk in the Euro Area
Gilchrist, Simon - 2014
We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities. The indicators are also constructed at the...
Persistent link: https://www.econbiz.de/10013054759
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Credit Risk in the Euro Area
Gilchrist, Simon - 2014
We construct credit risk indicators for euro area banks and non-financial corporations. These are the average spreads on the yield of euro area private sector bonds relative to the yield on German federal government securities of matched maturities. The indicators are also constructed at the...
Persistent link: https://www.econbiz.de/10013055501
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - National Bureau of Economic Research - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollar-denominated bonds issued...
Persistent link: https://www.econbiz.de/10012696410