Sovereign risk
Exchange Rates and Sovereign Risk
... between sovereign risk and currency excess returns as well as higher-order moments of exchange rates implied by currency option ...increasing sovereign risk show a significant con- ...
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Sovereign Risk Management in Recession: The Cases of Sweden and China
... Sovereign Risk Management in Recession: The Cases of Sweden and China Zhang, Yuewen Chinese Academy of Social Sciences, Stockholm School of Economics... percents of GDP..[r] ...
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The anatomy of sovereign risk contagion
... global sovereign risk factors (PC1, PC2, PC3, PC4, PC5) on the indicated variables for the period from 29/01/2004 to ...a sovereign credit event occurring within any sample country and zero ...in ...
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Legal enforcement, public supply of liquidity and sovereign risk
... linking sovereign defaults with liquidity and banking crises without any intervention of foreign ...and sovereign risk is then exploited to study the implications on international capital flows and ...
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Essays on Sovereign Risk and Banking
... rising sovereign risk (Broner et ...for sovereign debt than the private ...of sovereign debt indeed occurred in the Eurozone crisis; however this only holds for domestic banks as opposed to ...
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Sovereign Risk and Macroeconomic Fluctuations
... of sovereign risk that explains how default can de triggered by shocks that drive normal business cycles, albeit in the context of an endowment ...the sovereign country to commit to repay ...with ...
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Sovereign risk and debt sustainability: warning levels for Romania
... Beyond these expectations, there are also several risks arising from the agreement with the IMF, such as creating a negative image regarding the financial situation of Romania, which would make a "bailout" ...
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Revisiting the fiscal theory of sovereign risk from a DSGE viewpoint
... of sovereign risk (FTSR), encompassing a stabilizing of inflation (SI) and a suppressing of default (SD) trade-off (SI—SD trade-off), may be consistent with the intuition of most ...default risk could ...
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Sovereign risk and financial crisis: the international political economy of the Euro area sovereign debt crisis
... to sovereign debt repayment (Bulow and Rogoff, ...a sovereign borrower may consider a broader set of factors when deciding on debt ...the risk of being expelled from the club as a consequence of a ...
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Determinants of sovereign risk premia for European emerging markets
... the risk-return profi le of bonds, which depends on the government’s ability and willingness to repay the debt at ...the risk of bond default, and investors consequently require higher returns to hold such ...
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Sovereign risk, private credit, and stabilization policies
... In this paper we examine the impact of bailout policies in small open economies that are subject to financial frictions. We extend standard endogenous default models in two ways. First, we augment the government’s choice ...
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The effects of crisis on the interbank markets and sovereign risk: empirical investigations
... to assess the effectiveness of the regulatory reforms. Banks perceived as more likely to receive taxpayer support may benefit from lower funding costs. These implicit subsidy can create moral hazard and provide an ...
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SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
... One of the leading indicators about economic problems encountered by a country is the exchange rate. Thus, it can be naturally predicted that there is a positive correlation between the exchange rate pressures with the ...
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Sovereign risk: constitutions rule
... I start by excluding all countries without a sovereign credit rating assigned at any time up to June 2002 by Moody’s or Standard & Poor’s. Presumably, such countries have not been particularly active in ...
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The Management of Greek Sovereign Risk
... first sovereign bond market crisis in Europe: ...reporting, risk management and accounting ...default risk of Greece supports the need for hedging tools, such as Credit Default ...Greek ...
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The impact of sovereign credit risk on bank funding conditions
... Turkey’s sovereign crises, banks’ access to external financing was severely affected by a marked deterioration in their balance sheets due to their exposures to government ...Turkish sovereign crisis had a ...
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Sovereign debt default and bank risk in China
... the sovereign risk based on a data set of 101 countries from 1980 to 2008 and found that debt to GDP is one the important determinants of sovereign ...the sovereign risk (Caner, Grennes ...
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Modeling and forecasting international credit risk : the case of sovereign loans
... CONTENTS Chapter 1 List of Tables iv List of Figures V Acknowledgements vi Declaration vii Abstract viii Introduction 1.1 Overview of the Research 1.2 Importance of Sovereign Risk: The S[r] ...
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Sovereign default Risk in the Euro Periphery and the Euro Candidate Countries
... mitigating sovereign risk premium to the counter"cyclical fiscal policy ...systemic risk (defined as a high probability of a permanent damage to real economic growth and financial stability), a ...
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Managing sovereign credit risk in bond portfolios
... the risk of a sovereign bond portfolio into individual country ...the risk contributions. Risk bud- geting is basically the same process in ...defined risk contributions, risk ...
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