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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
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, 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/10012792718
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Liquidity backstops and dynamic debt runs
Wei, Bin; Yue, Vivian Z. - In: Journal of economic dynamics & control 116 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012503227
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Sovereign risk and financial risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - In: Journal of international economics 136 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013431586
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Sovereign risk and financial risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2021
Persistent link: https://www.econbiz.de/10012796855
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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