We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

This paper examines sovereign ceiling violations (SCVs) in credit default swap (CDS) markets, whereby private sector firms have lower CDS spreads relative to their sovereign counterparts with equal contractual terms. Using 5-year CDS spreads on 2,364 companies in 54 countries during 2004-2011,...

This Internet Appendix provides supplementary results to the main analyses in Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk.The paper to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2635545"...

Using 5-year credit default swap (CDS) spreads on 2,364 companies in 54 countries during 2004-2011, we show firms exposed to better property rights institutions through their foreign asset positions (Institutional channel) and firms whose stocks are cross-listed on exchanges with stricter...

This Internet Appendix provides supplementary results to the main analyses in "Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk" by Lee, Naranjo, and Sirmans (2014).The paper to which these Appendices apply is available at the following...

Using 5-year credit default swap (CDS) spreads on 2,364 companies in 54 countries during 2004-2011, we show firms exposed to better property rights institutions through their foreign asset positions (Institutional channel) and firms whose stocks are cross-listed on exchanges with stricter...

This paper investigates the role of banks foreign asset holdings in transmitting credit risk internationally. Foreign exposure in risky assets might severely a.ect the solvability of credit institutions. Credit risk, in turn, transfers from banks to public accounts as a consequence of implicit...

This paper explores whether different funding structures-including the source, instrument, currency, and counterparty location of funding-affected the extent of financial stress experienced in various countries and sectors during the Covid-19 spread in early 2020. We measure financial stress...

This paper explores the relationship between different funding structures--including the source, instrument, currency, and counterparty location of funding--and the extent of financial stress experienced in different countries and sectors during the sharp risk-off shock in early 2020 when...

This paper explores whether different funding structures – including the source, instrument, currency, and counterparty location of funding – affected the extent of financial stress experienced in different countries and sectors during the early stages of the Covid-19 pandemic. We measure...