Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - National Bureau of Economic Research - 2021
portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … financial risk causes a large and persistent widening of sovereign bond spreads. These effects are strongest when measuring … global risk using the excess bond premium - a measure of the risk-bearing capacity of U.S. financial intermediaries. The …