Using quarterly data on four commodity exporting countries, we study the explanatory power of real commodity prices for predicting real effective exchange rates, with special attention to the separate roles of different sectoral commodity prices during alternative time periods. We find that the...

This project studies and models key macroeconomic variables and their impact on sovereign risk premia across some European economies and developed countries. The sample is divided into groups of countries in the European Monetary Union (EMU), the 'standalone' economies that are outside the EMU...

We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign-specific defaults (country risk). Then, we quantify individual...

This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 using daily data. The impact of Covid-19 and...

The global spread of the corona virus is a massive challenge for countries in the Global South. Beyond the health crisis, many countries face economic turmoil linked to their dependence on commodities. Commodity markets have reacted strongly to the COVID-19 crisis with drastic price movements...

The Covid-19 outbreak has led to extensive declines in international commodity prices. The outbreak as well as measures fashioned to contain it has been weighing down on global supply chains and commodity prices. The pandemic has been accompanied with unprecedented shock that has disrupted both...