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Sovereign risk and its changing effects on bond duration during financial crisis
Lee, Hei Wei; Xie, Yan Alice; Yau, Jot - In: Applied financial economics 24 (2014) 22/24, pp. 1465-1477
Persistent link: https://www.econbiz.de/10010460096
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Chapter 21. Quantitative Models of Sovereign Debt Crises
Aguiar, M.; Chatterjee, S.; Cole, H.; Stangebye, Z. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1697-1755). 2016
This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the...
Persistent link: https://www.econbiz.de/10014024275
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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period … 2008--2015, joint default probabilities based on CDS and bond yield data yield similar results. For the period 1987 …-2008, only the bond yield data can be used to shed light on European sovereign systemic stress. We also show that simple averages …
Persistent link: https://www.econbiz.de/10011531096
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Emerging market sovereign bond spreads, credit ratings and global financial crisis
Özmen, Erdal; Yaşar, Özge Doğanay - In: Economic modelling 59 (2016), pp. 93-101
Persistent link: https://www.econbiz.de/10011647772
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Global Financial Crisis and Price Discovery between Credit Default Swaps Premia and Bond Yield Spreads
Klenina, Ekaterina - 2017
This paper examines the relationship between CDS and bond markets in the context of the financial crisis by employing …-lag relation is found between the markets, in which changes in CDS premia consistently forecast changes in bond spreads. Moreover …, it was found less bond market reaction for an increase on the insurance premium to investment grade bonds …
Persistent link: https://www.econbiz.de/10012949170
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Sovereign and bank CDS spreads : two sides of the same coin?
Avino, Davide; Cotter, John - In: Journal of international financial markets, … 32 (2014), pp. 72-85
Persistent link: https://www.econbiz.de/10011299805
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Accounting for sovereign tail risk in emerging economies : the role of global and domestic risk factors
Fong, Tom; Li, Ka-Fei; Fu, John - 2015
Persistent link: https://www.econbiz.de/10012200130
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Default premium
Catão, Luis; Mano, Rui C. - In: Journal of international economics 107 (2017), pp. 91-110
Persistent link: https://www.econbiz.de/10011753764
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Sovereign spreads and contagion risks in Asia
Caceres, Carlos; Unsal, D. Filiz - In: Asian economic journal : journal of the East Asian … 27 (2013) 3, pp. 219-243
Persistent link: https://www.econbiz.de/10010229554
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Liquidity and credit risks in the UK's financial crisis : how "quantitative easing" changed the relationship
Wong, Woon K.; Biefang-Frisancho Mariscal, Iris; Yao, Wanru - 2016
This paper investigates the relationship between credit and liquidity risk components in the UK interbank spread during the recent financial crisis and sheds light on the transmission mechanism of the quantitative easing (QE) carried out by the Bank of England on short term interest rates....
Persistent link: https://www.econbiz.de/10011688262