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

Name	File Type	Size	Last Modified
Data.xls	application/vnd.ms-excel	718.5 KB	10/12/2019 05:11:PM
P3C1.FOR	text/x-fortran	17.3 KB	10/12/2019 05:11:PM
README.pdf	application/pdf	28.9 KB	10/12/2019 05:11:PM
TPFILE	text/plain	349.5 KB	10/12/2019 05:11:PM

Project Description

Summary: 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:
      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

Related Publications

Download this project

Published Versions

V1 [2019-10-12]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.