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Determinants of Russia's Sovereign Risk

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  • Evgenia Grigoryeva

    (Bank of Russia)

Abstract

This paper presents an empirical analysis of the determinants of Russia's sovereign risk. The spreads on sovereign Russian credit default swaps (CDS) were used as a measure of risk. Based on the accuracy of out-of-sample forecasts, the factors that influence Russian CDS were selected: the implied volatility of the rouble exchange rate, the size of foreign exchange reserves relative to GDP, and the average spread on other emerging market CDS as a proxy for global factors. In turn, the CDS of emerging market economies are determined by the volatility of their currencies, the slope of the US government bond yield curve, and also by the increments of the dollar index.

Suggested Citation

  • Evgenia Grigoryeva, 2021. "Determinants of Russia's Sovereign Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(4), pages 74-97, December.
    • Handle: RePEc:bkr:journl:v:80:y:2021:i:4:p:74-97
    DOI: 10.31477/rjmf.202104.74
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    References listed on IDEAS

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    Cited by:

    1. Mathias Manguzvane & Mduduzi Biyase, 2023. "Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach," Economics Working Papers edwrg-04-2023, College of Business and Economics, University of Johannesburg, South Africa, revised 2023.

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    More about this item

    Keywords

    sovereign risk; CDS; Russia; emerging market economies;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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