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The nonlinear nature of country risk and its implications for DSGE models
Brzoza-Brzezina, Michał; Kotłowski, Jacek - In: Macroeconomic dynamics 24 (2020) 3, pp. 601-628
Persistent link: https://www.econbiz.de/10012240994
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Monetary policy spillovers and emerging market credit : the impact of Federal Reserve communications on sovereign CDS spreads
Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011
In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...
Persistent link: https://www.econbiz.de/10009304122
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The Zero Risk Fallacy? Banks' Sovereign Exposure and Sovereign Risk Spillovers
Kirschenmann, Karolin - 2018
consider the trade-off of benefits of sovereign debt (for banks and sovereigns) and spillover risk when applying risk …
Persistent link: https://www.econbiz.de/10012931492
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Do sovereign ratings cause instability in cross-border emerging CDS markets?
Ballester, Laura; González-Urteaga, Ana - In: International review of economics & finance : IREF 72 (2021), pp. 643-663
Persistent link: https://www.econbiz.de/10012672072
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Spatial analysis of sovereign risks : the case of emerging markets
Kışla, Gül Huyugüzel; Önder, A. Özlem - In: Finance research letters 26 (2018), pp. 47-55
Persistent link: https://www.econbiz.de/10012005439
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Oil volatility and sovereign risk of BRICS
Bouri, Elie; Shahzad, Syed Jawad Hussain; Raza, Naveed; … - In: Energy economics 70 (2018), pp. 258-269
Persistent link: https://www.econbiz.de/10011942723
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What drives cross-border spillovers among sovereign CDS, foreign exchange and stock markets?
Feng, Qianqian; Wang, Yijing; Sun, Xiaolei; Li, Jianping; … - In: Global finance journal 56 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014478959
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Sovereign credit spreads, banking fragility, and global factors
Chari, Anusha; Garcés, Felipe; Martínez, Juan Francisco; … - 2022
Persistent link: https://www.econbiz.de/10013281393
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Interest rate uncertainty and sovereign default risk
Johri, Alok; Khan, Shahed; Sosa Padilla, César - In: Journal of international economics 139 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10014281820
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Dynamic spillover effects of macroeconomic risks on foreign exchange markets in emerging countries
Güngör, Arifenur; Güngör, Mahmut Sami - In: The empirical economics letters : a monthly … 19 (2020) 7, pp. 683-692
Persistent link: https://www.econbiz.de/10012596724