G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16750
DP16750 Sovereign Risk and Financial Risk
Simon Gilchrist; Bin Wei; Vivian Yue; Egon Zakrajšek
发表日期2021-11-23
出版年2021
语种英语
摘要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-level sovereign spreads for dollar-denominated bonds issued by over 50 countries from 1995 to 2020 and use various indicators to measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global financial risk causes a large and persistent widening of sovereign bond spreads. These effect are strongest when measuring global risk using the excess bond premium -- a measure of the risk-bearing capacity of U.S. financial intermediaries. The spillover effects of global financial risk are more pronounced for speculative-grade sovereign bonds.
主题Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词Sovereign bonds Cds Global financial risk Excess bond premium Global financial cycle
URLhttps://cepr.org/publications/dp16750
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/545684
推荐引用方式
GB/T 7714
Simon Gilchrist,Bin Wei,Vivian Yue,et al. DP16750 Sovereign Risk and Financial Risk. 2021.
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