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来源类型Working Paper
规范类型报告
DOI10.3386/w24506
来源IDWorking 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
URLhttps://www.nber.org/papers/w24506
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/582180
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Patrick Augustin,Mikhail Chernov,Dongho Song. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. 2018.
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