| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13658 |
| 来源ID | Working Paper 13658 |
| How Sovereign is Sovereign Credit Risk? | |
| Francis A. Longstaff; Jun Pan; Lasse H. Pedersen; Kenneth J. Singleton | |
| 发表日期 | 2007-12-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly correlated, with just three principal components accounting for more than 50 percent of their variation. Sovereign credit spreads are generally more related to the U.S. stock and high-yield bond markets, global risk premia, and capital flows than they are to their own local economic measures. We find that the excess returns from investing in sovereign credit are largely compensation for bearing global risk, and that there is little or no country-specific credit risk premium. A significant amount of the variation in sovereign credit returns can be forecast using U.S. equity, volatility, and bond market risk premia. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w13658 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571340 |
| 推荐引用方式 GB/T 7714 | Francis A. Longstaff,Jun Pan,Lasse H. Pedersen,et al. How Sovereign is Sovereign Credit Risk?. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13658.pdf（298KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
