| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24506 |
| 来源ID | Working Paper 24506 |
| Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads | |
| Patrick Augustin; Mikhail Chernov; Dongho Song | |
| 发表日期 | 2018-04-16 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Sovereign CDS quanto spreads—the difference between CDS premiums denominated in U.S. dollars and a foreign currency—tell us how financial markets view the interaction between a country's likelihood of default and associated currency devaluations (the Twin Ds). A noarbitrage model applied to the term structure of quanto spreads can isolate the interaction between the Twin Ds and gauge the associated risk premiums. We study countries in the Eurozone because their quanto spreads pertain to the same exchange rate and monetary policy, allowing us to link cross-sectional variation in their term structures to cross-country differences in fiscal policies. The ratio of the risk-adjusted to the true default intensities is 2, on average. Conditional on the occurrence of default, the true and risk-adjusted 1-week probabilities of devaluation are 5% and 77%, respectively. The risk premium for the euro devaluation in case of default exceeds the regular currency premium by up to 0.3% per week. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w24506 |
| 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/582180 |
| 推荐引用方式 GB/T 7714 | Patrick Augustin,Mikhail Chernov,Dongho Song. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. 2018. |
| 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 | ||
| w24506.pdf（2391KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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