Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we doc- ument the existence of an event risk transfer , namely a significant credit risk transmission from the sovereign to the corporate sector...

Discussions at the 11th OECD-WBG-IMF Global Bond Market Forum focused on four key areas: i) the impact of crisis-related measures and the potential implications of exit; ii) the measurement of sovereign risk; iii) the determinants of investor demand; and iv) debt managers' response to the crisis....

Acknowledging the potential detrimental impact that twin-deficits may have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European Economies between 2001Q4 and 2022Q3. To do so, we...

Credit default swaps (CDS) have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007–2009. We review the extant literature on CDS that has accumulated over the past two...

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and...

Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...

When a sovereign faces the risk of debt default, it attempts to expropriate the private sector. But the likelihood of a transfer from the sovereign risk to corporate default risk can be mitigated by legal institutions that provide strong property rights protection. Using a novel credit default...

This paper studies sovereign debt pricing in the presence of corporate debt. We find that foreign currency (FC) corporate external debt empirically explains sovereign credit spreads in emerging countries, even after controlling for sovereign debt and global factors. Decomposing sovereign credit...

We explore a long standing prediction in the international business literature that managers' subjective perceptions of political risk – not just the level of risk – are important for how firms manage political risk. The importance attributed to political risk by corporate executives has...