| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 958436 | Journal of Empirical Finance | 2013 | 21 Pages |
Abstract
⺠We extract risk premia embedded in emerging market sovereign default swaps using a term structure model. ⺠Risk premia decrease over the sample, 2003â07, and rebounds at the start of the 'credit crunch.' ⺠Daily risk premia coâmove with US macro variables and corporate default risk. ⺠Global factors explain most of Latin American countries' premia, and local factors best explain European and Asian premia. ⺠Conditioning on lagged local and global variables at a weekly frequency, sovereign risk premia are highly predictable.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Gabriele Zinna,