The sovereign debt crisis in Europe has highlighted the role of country risk premia as a link between countriesâ … of inflation targeting (IT) affects spreads. It is hypothesized that country risk premia for IT countries (especially … stable long-term inflation. The findings suggest that IT reduces the risk premium, both through adoption of the IT regime …

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the … private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk … channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region …

transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk …

contingent IMF financial support on the risk premiums and the crisis probability. In the model, the country borrows in both short …

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield …-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate …

vulnerabilities and estimating the associated value of risk transfer across interrelated balance sheets of the corporate, financial …

stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk …-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk …-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor …

fragility, the endogenous response of the risk premium, and sudden stops in private capital flows. The vulnerability of external … trade-off between managing the risk of a debt crisis and pursuing other important fiscal policy objectives. …

apparently insufficient degree of risk-sharing observed through the standard channels. …