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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 … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10012792718
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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 … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10013311583
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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 … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10013307231
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Sovereign Uncertainty
Silgado-Gómez, Edgar - 2020
This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...
Persistent link: https://www.econbiz.de/10012846834
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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.; 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 … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10014351701
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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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Risky Sovereign Capital Structure : Macrofinancial Diagnostics
Yordanov, Vilimir - 2018
We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign …
Persistent link: https://www.econbiz.de/10012937300
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Global Risk in Long-Term Sovereign Debt
Borri, Nicola - 2020
that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk …, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine …
Persistent link: https://www.econbiz.de/10012853298
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Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt
Roch, Francisco; Roldán, Francisco - 2022
We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond...
Persistent link: https://www.econbiz.de/10014030625