This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia …. First, the risk premia contribution to the spreads decreases over the sample, 2003-2007, and rebounds at the start of the … "credit crunch." Second, the daily risk premia co-move with US macro news and corporate default risk. Third, global factors …

Consumption risk sharing among U.S. federal states increases in booms and decreases in recessions. We find that small … aggregate risk sharing are more pronounced in states in which small firms account for a large share income or employment. In … to have loosened the dependence of aggregate risk sharing on the business cycle. Not only do our result support that …

This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk … the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the … geopolitical risk index, on risk connectedness. The study is based on daily data from January 2018 to December 2020 and finds a …

The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign … markets. Finally, empirical models with economic fundamentals generally do a poor job in explaining sovereign risk in the pre …-crisis period for European economies, suggesting that the market pricing of sovereign risk may not have been fully reflecting …

, international flows create global liquidity and mitigate crises despite their fickleness. In this paper, we focus on the asymmetric … crises. Relatively high DM returns help to mitigate EM crises, by reducing fickle inflows, and by providing greater liquidity …

finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect …, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects show that common …

against liquidity shocks, which temporarily shut out the economy of short-term credit markets. Due to the presence of a …

The rapid increase in global liquidity and the large-scale net capital flows to emerging countries have raised serious … many emerging countries highlights the risk of a rapid reversal of capital flows, followed by a possible financial and … currency crisis. There have also been concerns about the inflationary consequences of excessive global liquidity for commodity …