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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10012792718
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2021
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10013311583
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Zhanwei; Zakrajsek, Egon - 2022
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10013307231
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Stigma or cushion? : IMF programs and sovereign creditworthiness
Gehring, Kai; Lang, Valentin - 2018
IMF programs are often considered to carry a "stigma" that triggers adverse market reactions. We show that such a negative IMF effect disappears when accounting for endogenous selection into programs. To proxy for a country's access to financial markets, we use credit ratings and investor...
Persistent link: https://www.econbiz.de/10011931328
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Sovereign Uncertainty
Silgado-Gómez, Edgar - 2020
This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...
Persistent link: https://www.econbiz.de/10012846834
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Sovereign risk and financial risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - In: Journal of international economics 136 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013431586
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Sovereign Risk and Financial Risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon - 2023
In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …
Persistent link: https://www.econbiz.de/10014351701
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Sovereign risk and financial risk
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2021
Persistent link: https://www.econbiz.de/10012796855
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Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises
Baum, Christopher F. - 2016
This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...
Persistent link: https://www.econbiz.de/10013003953
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In Sickness and in Debt : The COVID-19 Impact on Sovereign Credit Risk
Augustin, Patrick - 2020
explaining the relation between economic growth shocks and sovereign default risk. For a sample of 30 developed countries, we … find a positive and significant sensitivity of sovereign default risk to the intensity of the virus' spread for fiscally …
Persistent link: https://www.econbiz.de/10012832689