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来源类型Working Paper
规范类型报告
DOI10.3386/w19985
来源IDWorking Paper 19985
Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
Anne-Laure Delatte; Julien Fouquau; Richard Portes
发表日期2014-03-20
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Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Public Economics ; National Fiscal Issues
URLhttps://www.nber.org/papers/w19985
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/577659
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Anne-Laure Delatte,Julien Fouquau,Richard Portes. Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts. 2014.
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