We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign …

This paper investigates the impact of international political risk on government bond yields in 34 debtor countries … number of international political crises as a proxy for political risk and controlling for country-specific economic … conditions, we establish a positive and significant link between international political risk and government bond yields. This is …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …