Determinants Of Sovereign Risk PDF Download
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| Author | : Jens Hilscher |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Determinants of Sovereign Risk Book in PDF, ePub and Kindle
This paper investigates the effects of macroeconomic fundamentals on emerging market sovereign credit spreads. We find that the volatility of terms of trade in particular has a statistically and economically significant effect on spreads. This is robust to instrumenting terms of trade with a country-specific commodity price index. Our measures of country fundamentals have substantial explanatory power, even controlling for global factors and credit ratings. We also estimate default probabilities in a hazard model and find that model implied spreads capture a significant part of the variation in observed spreads out-of-sample. The fit is better for lower credit quality borrowers.
| Author | : Mr.Giovanni Dell'Ariccia |
| Publisher | : International Monetary Fund |
| Total Pages | : 54 |
| Release | : 2018-09-07 |
| Genre | : Business & Economics |
| ISBN | : 1484359623 |
Download Managing the Sovereign-Bank Nexus Book in PDF, ePub and Kindle
This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.
| Author | : Iva Petrova |
| Publisher | : International Monetary Fund |
| Total Pages | : 28 |
| Release | : 2010-12-01 |
| Genre | : Business & Economics |
| ISBN | : 1455252859 |
Download Determinants of Emerging Market Sovereign Bond Spreads Book in PDF, ePub and Kindle
This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
| Author | : Shelagh Heffernan |
| Publisher | : Routledge |
| Total Pages | : 202 |
| Release | : 2012 |
| Genre | : Business & Economics |
| ISBN | : 0415538556 |
Download Sovereign Risk Analysis Book in PDF, ePub and Kindle
Directed both at students of international finance and practitioners in the field, the book stresses the importance of treating the analysis of sovereign risk in a more general framework than is typically the case, identifying the components of both the demand and supply of sovereign loans. The author also discusses the link between the unique aspects of sovereign lending, the interdependence of the international banking system and the potential instability in the world financial system.
| Author | : Michael Frenkel |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 263 |
| Release | : 2013-03-14 |
| Genre | : Business & Economics |
| ISBN | : 3662099500 |
Download Sovereign Risk and Financial Crises Book in PDF, ePub and Kindle
Sovereign risk and financial crises play a key role in current international economic developments, particularly in the case of economic downturns. As the Asian economic crisis in the late 1990s revealed once again, financial crises are the rule rather than the exception in capitalist economies. The event also revealed that international public debt agreements are contingent claims. In a world of increasing economic interdependencies, the issues of financial crises and country defaults are of critical importance. This volume goes to the heart of the academic discussion on sovereign risk and financial crises by centering on quantitative-empirical aspects, evaluating prominent approaches, and by proposing new methods. Part I of the volume identifies key factors and processes that are central in analyzing sovereign risk while Part II focuses on the determinants and effects of financial crises.
| Author | : Salvatore Dell'Erba |
| Publisher | : |
| Total Pages | : 110 |
| Release | : 2012 |
| Genre | : |
| ISBN | : |
Download Three Essays on the Determinants of Sovereign Risk Book in PDF, ePub and Kindle
| Author | : Mr.Udaibir S. Das |
| Publisher | : International Monetary Fund |
| Total Pages | : 40 |
| Release | : 2010-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1451961944 |
Download Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets Book in PDF, ePub and Kindle
Top down spillovers of sovereign default risk can have serious consequences for the private sector in emerging markets. This paper analyzes the effects of these spillovers using firm-level data from 31 emerging market economies. We assess how sovereign risk affects corporate access to international capital markets, in the form of external credit (loans and bond issuances) and equity issuances. The study first analyzes the impact of sovereign debt crises during the 1980s and 1990s. It goes on to examine the 1993 to 2007 period, using additional measures of sovereign risk-sovereign bond spreads and sovereign ratings-as explanatory variables. Overall, we find that sovereign default risk is a crucial determinant of private sector access to capital, be it external debt or equity. We also find that crisis resolution patterns matter and that defaults towards private creditors have stronger adverse consequences than defaults to official creditors.
| Author | : Giancarlo Corsetti |
| Publisher | : International Monetary Fund |
| Total Pages | : 49 |
| Release | : 2013-11-06 |
| Genre | : Business & Economics |
| ISBN | : 1475516800 |
Download Sovereign Risk and Belief-Driven Fluctuations in the Euro Area Book in PDF, ePub and Kindle
Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns. The model provides an argument in favor of coordinated, asymmetric fiscal stances as a way to prevent selffulfilling debt crises.
| Author | : John Caramichael |
| Publisher | : International Monetary Fund |
| Total Pages | : 34 |
| Release | : 2021-07-12 |
| Genre | : Business & Economics |
| ISBN | : 1513579010 |
Download U.S. Dollar Currency Premium in Corporate Bonds Book in PDF, ePub and Kindle
We isolate a U.S. dollar currency premium by comparing corporate bonds issued in the dollar and the euro by firms o utside t he U .S. a nd e uro a rea. We make s everal empirical observations that dissect the perceived advantage of borrowing in the dollar. First, while the dollar dominates global debt issuance, borrowing costs in the dollar are more expensive without a currency hedge and about the same with a currency hedge when compared to the euro. This observed parity in currency-hedged corporate borrowing stands in contrast to the persistent deviation from covered interest parity in risk-free rates. Second, we observe a dollar safety premium in relative hedged borrowing costs, found in the subset of bonds with high credit ratings and short maturities, attributes similar to those of safe sovereigns. Finally, we find that firms flexibly adjust the currency mix of their debt issuance depending on the relative borrowing cost between dollar and euro debt. In sum, the disproportionate demand for U.S. dollar debt is reflected in higher issuance volumes that drive up the currency hedged dollar borrowing costs such that at the margin they equate to euro borrowing costs.
| Author | : Rob Quail |
| Publisher | : John Wiley & Sons |
| Total Pages | : 435 |
| Release | : 2011-02-25 |
| Genre | : Business & Economics |
| ISBN | : 1118017552 |
Download Sovereign Debt Book in PDF, ePub and Kindle
An intelligent analysis of the dangers, opportunities, and consequences of global sovereign debt Sovereign debt is growing internationally at a terrifying rate, as nations seek to prop up their collapsing economies. One only needs to look at the sovereign risk pressures faced by Greece, Spain, and Ireland to get an idea of how big this problem has become. Understanding this dilemma is now more important than ever, that's why Robert Kolb has compiled Sovereign Debt. With this book as your guide, you'll gain a better perspective on the essential issues surrounding sovereign debt and default through discussions of national defaults, systemic risk, associated costs, and much more. Historical studies are also included to provide a realistic framework of reference. Contains up-to-date research and analysis on sovereign debt from today's leading practitioners and academics Details the dangers of defaults and their associated systemic risks Explores the past, present, and future of sovereign debt The repercussions of a national default are all-encompassing as global markets are intricately interwoven in the modern world. Sovereign Debt examines what it will take to overcome the challenges of this market and how you can deal with the uncertainty surrounding it.
