Replication data for: How Sovereign Is Sovereign Credit Risk?
Principal Investigator(s): View help for Principal Investigator(s) Francis A. Longstaff; Jun Pan; Lasse H. Pedersen; Kenneth J. Singleton
Version: View help for Version V1
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Project Citation:
Longstaff, Francis A., Pan, Jun, Pedersen, Lasse H., and Singleton, Kenneth J. Replication data for: How Sovereign Is Sovereign Credit Risk? Nashville, TN: American Economic Association [publisher], 2011. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114221V1
Project Description
Summary:
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We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the US stock and high-yield markets than they are to local economic measures.
We decompose credit spreads into their risk premium and default risk components. On average, the risk premium represents about a third of the credit spread. (JEL F34, G15, O16, O19, P34)
Scope of Project
JEL Classification:
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F34 International Lending and Debt Problems
G15 International Financial Markets
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
O19 International Linkages to Development; Role of International Organizations
P34 Socialist Institutions and Their Transitions: Financial Economics
F34 International Lending and Debt Problems
G15 International Financial Markets
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
O19 International Linkages to Development; Role of International Organizations
P34 Socialist Institutions and Their Transitions: Financial Economics
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