کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5101079 1479140 2017 35 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Sovereign tail risk
ترجمه فارسی عنوان
ریسک دم حاکم
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We provide a new measure of sovereign country risk exposure (SCRE) to global sovereign tail risk based on information incorporated in 5-year sovereign CDS spreads. Our panel regressions with quarterly data from 53 countries show that macro risks have strong explanatory power for SCRE. Results show that SCRE increases for countries with less fiscal space, higher interest rates, and financial stability concerns. Exposure sensitivity to public sector leverage is shown to increase non-linearly with public debt and to decrease with central banks' sovereign debt programs. Our results imply that good forward-looking macro-finance fundamentals, such as high expected GDP growth and low credit-to-GDP ratios protect countries against sovereign risk especially in times of global distress.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 79, December 2017, Pages 174-188
نویسندگان
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