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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012659594
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Probability of default and precision of information
Ernstberger, Philip - In: Crisis, debt, and default : the effects of time …, (pp. 95-136). 2016
Persistent link: https://www.econbiz.de/10011622268
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IMF's assistance : devil's kiss or guardian angel?
Brandes, Julia (contributor); Schüle, Tobias (contributor) - 2007
creditors and that several interventions in sequence may be necessary to avert an impending crisis. Absent of the IMF …
Persistent link: https://www.econbiz.de/10003636488
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Asset correlations: shifting tides
Chernih, Andrew (contributor); Vanduffel, Steven (contributor) - 2006
Persistent link: https://www.econbiz.de/10003611637
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Fiscal space and sovereign risk pricing in a currency union
Ghosh, Atish R.; Ostry, Jonathan David; Qureshi, … - In: Journal of international money and finance 34 (2013), pp. 131-163
Persistent link: https://www.econbiz.de/10009751121
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Governing the Varieties of Sovereign Risk in EMU : The Rise of State-Contingent Common Public Policies
van Riet, Ad - 2023
-sharing. The challenge for the future will be to balance the need to stabilise the eurozone with the need for fiscal discipline …
Persistent link: https://www.econbiz.de/10014357317
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IMF's assistance: Devil's kiss or guardian angel?
Brandes, Julia; Schüle, Tobias - 2007
creditors and that several interventions in sequence may be necessary to avert an impending crisis. Absent of the IMF …
Persistent link: https://www.econbiz.de/10010301802
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Do Sovereign Credit Default Swaps Represent a Clean Measure of Sovereign Default Risk? A Factor Model Approach
Badaoui, Saad - 2013
, liquidity, systematic liquidity and correlation components. By calibrating the model to sovereign CDSs and bonds we are able to …
Persistent link: https://www.econbiz.de/10013091389
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News Sentiment and Sovereign Credit Risk
Cathcart, Lara - 2019
We explore the impact of media content on sovereign credit risk. Our measure of media tone is extracted from the Thomson Reuters News Analytics database. As a proxy for sovereign credit risk we consider Credit Default Swap (CDS) spreads, which are decomposed into their risk premium and default...
Persistent link: https://www.econbiz.de/10012903251
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Sovereign Credit Spread, International Influence and Country Governance
Guo, Biao - 2014
Sovereign CDS spreads exhibit strong co-movements across countries. We use dynamic latent factor modelling to filter the global, regional and country effects on the spreads of 37 sovereigns. On average, approximately two-thirds of monthly CDS variability is accounted for by international...
Persistent link: https://www.econbiz.de/10013056474