| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16750 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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