This paper investigates the extent to which macro-economic variables govern the dynamics of emerging market sovereign CDS spreads. I propose a structural model of sovereign credit risk based on a country's access to international capital flows through exports, imports and international reserves....

What determines the price of insurance against default of advanced economies? Our laboratory to answer this question is the credit default swap (CDS) market on government debt of 18 advanced economies. The price of credit protection on these countries shows a strong degree of co-movement, has...