| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29501 |
| 来源ID | Working Paper 29501 |
| Sovereign Risk and Financial Risk | |
| Simon Gilchrist; Bin Wei; Vivian Z. Yue; Egon Zakrajšek | |
| 发表日期 | 2021-11-22 |
| 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 effects 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 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w29501 |
| 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/587175 |
| 推荐引用方式 GB/T 7714 | Simon Gilchrist,Bin Wei,Vivian Z. Yue,et al. Sovereign Risk and Financial Risk. 2021. |
| 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 | ||
| w29501.pdf（493KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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