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Contagion of Fear : Is the Impact of COVID-19 on Sovereign Risk Really Indiscriminate?

Cevik, Serhan; Ozturkkal, Belma - 2021

factors. However, our granular analysis using high-frequency (daily) data indicates that the COVID-19 pandemic has had a …

Persistent link: https://www.econbiz.de/10013250064

Capital Markets, COVID-19 and Policy Measures

ElFayoumi, Khalid; Hengge, Martina - 2021

The COVID-19 pandemic and associated policy responses triggered a historically large wave of capital reallocation … between markets and asset classes. Using high-frequency country-level data, this paper examines if and how the number of COVID … that rising domestic COVID cases had a strong positive effect on portfolio flows, which responded to an increase in …

Persistent link: https://www.econbiz.de/10013234704

Are Rating Agencies Powerful? An Investigation into the Impact and Accuracy of Sovereign Ratings

Kiff, John - 2012

We find that Credit Rating Agencies (CRA)'s opinions have an impact in the cost of funding of sovereign issuers and consequently ratings are a concern for financial stability. While ratings produced by the major CRAs perform reasonably well when it comes to rank ordering default risk among...

Persistent link: https://www.econbiz.de/10013111391

Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models

Ben Cheikh, Nidhaleddine - 2018

Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...

Persistent link: https://www.econbiz.de/10012913874

Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt

Roch, Francisco; Roldán, Francisco - 2022

We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond...

Persistent link: https://www.econbiz.de/10014030625

Inflation Targeting and Country Risk : An Empirical Investigation

Fouejieu, Armand - 2013

The sovereign debt crisis in Europe has highlighted the role of country risk premia as a link between countries' fiscal and external balances, financial conditions and monetary policy. The purpose of this paper is to estimate how adoption of inflation targeting (IT) affects spreads. It is...

Persistent link: https://www.econbiz.de/10013086328

Inflation Targeting and Country Risk : An Empirical Investigation

Fouejieu, Armand - 2013

Persistent link: https://www.econbiz.de/10013087779

Sovereign Risk and Belief-Driven Fluctuations in the Euro Area

Küster, Keith - 2013

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk channel.” The model is calibrated to the euro...

Persistent link: https://www.econbiz.de/10013071921

Sub-National Credit Risk and Sovereign Bailouts : Who Pays the Premium?

Jenkner, E. - 2014

Studies have shown that markets may underprice sub-national governments' risk on the implicit assumption that these entities would be bailed out by their central government in case of financial difficulties. However, the question of whether sovereigns pay a premium on their own borrowing as a...

Persistent link: https://www.econbiz.de/10013058431

Default Premium

Catão, Luis - 2015

We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a “default premium” (DP) that is consistent with asymmetric information models...

Persistent link: https://www.econbiz.de/10013016580