| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9898 |
| DP9898 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts | |
| Richard Portes; Anne-Laure Delatte | |
| 发表日期 | 2014-03-16 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and explain them. Our estimates based on a panel smooth threshold regression model during January 2006 to September 2012 show four main findings: 1) Peripheral sovereign spreads are subject to significant nonlinear dynamics. 2) The deterioration of market conditions for financial names changes the way investors price risk of the sovereigns. 3) The spreads of European peripheral countries have been priced above their historical values, given fundamentals, because of amplification effects. 4) Two CDS indices on financial names unambiguously stand out as leading drivers of these amplification effects. |
| 主题 | Financial Economics |
| 关键词 | Cds indices European sovereign crisis Panel smooth threshold regression models |
| URL | https://cepr.org/publications/dp9898 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538732 |
| 推荐引用方式 GB/T 7714 | Richard Portes,Anne-Laure Delatte. DP9898 Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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