IDEAS home Printed from https://ideas.repec.org/r/red/sed010/1122.html
   My bibliography  Save this item

Sovereign Risk Premia

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Juan Carlos Hatchondo & Leonardo Martinez & Francisco Roch, 2022. "Fiscal Rules and the Sovereign Default Premium," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 244-273, October.
  2. Borri, Nicola, 2018. "Local currency systemic risk," Emerging Markets Review, Elsevier, vol. 34(C), pages 111-123.
  3. Javier Bianchi & Juan Carlos Hatchondo & Leonardo Martinez, 2018. "International Reserves and Rollover Risk," American Economic Review, American Economic Association, vol. 108(9), pages 2629-2670, September.
  4. Karen K. Lewis, 2011. "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
  5. Péter Benczúr & Cosmin L. Ilut, 2016. "Evidence for Relational Contracts in Sovereign Bank Lending," Journal of the European Economic Association, European Economic Association, vol. 14(2), pages 375-404.
  6. Michael Kumhof & Romain Rancière & Pablo Winant, 2015. "Inequality, Leverage, and Crises," American Economic Review, American Economic Association, vol. 105(3), pages 1217-1245, March.
  7. Luigi Bocola & Guido Lorenzoni, 2020. "Financial Crises, Dollarization, and Lending of Last Resort in Open Economies," American Economic Review, American Economic Association, vol. 110(8), pages 2524-2557, August.
  8. Juan Carlos Hatchondo & Cesar Sosa-Padilla & Leonardo Martinez, 2010. "Debt dilution, overborrowing, and sovereign default risk," 2010 Meeting Papers 481, Society for Economic Dynamics.
  9. Geert Bekaert & Campbell R Harvey & Christian T Lundblad & Stephan Siegel, 2014. "Political risk spreads," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 45(4), pages 471-493, May.
  10. Dennis Bonam & Jasper Lukkezen, 2019. "Fiscal and Monetary Policy Coordination, Macroeconomic Stability, and Sovereign Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 581-616, March.
  11. Catão, Luis A.V. & Mano, Rui C., 2017. "Default premium," Journal of International Economics, Elsevier, vol. 107(C), pages 91-110.
  12. Coroneo, Laura & Pastorello, Sergio, 2020. "European spreads at the interest rate lower bound," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
  13. Jeanneret, Alexandre & Souissi, Slim, 2016. "Sovereign defaults by currency denomination," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 197-222.
  14. Wenxin Du & Jesse Schreger, 2013. "Local Currency Sovereign Risk," International Finance Discussion Papers 1094, Board of Governors of the Federal Reserve System (U.S.).
  15. Brutti, Filippo & Sauré, Philip, 2015. "Transmission of sovereign risk in the Euro crisis," Journal of International Economics, Elsevier, vol. 97(2), pages 231-248.
  16. Marina Azzimonti & Vincenzo Quadrini, 2024. "International Spillovers and Bailouts," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(1), pages 77-128.
  17. Aguiar, M. & Chatterjee, S. & Cole, H. & Stangebye, Z., 2016. "Quantitative Models of Sovereign Debt Crises," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1697-1755, Elsevier.
  18. Johri, Alok & Khan, Shahed & Sosa-Padilla, César, 2022. "Interest rate uncertainty and sovereign default risk," Journal of International Economics, Elsevier, vol. 139(C).
  19. Ignacio Presno & Demian Pouzo, 2012. "Sovereign Default Risk and Uncertainty Premia," 2012 Meeting Papers 608, Society for Economic Dynamics.
  20. Corneli, Flavia & Tarantino, Emanuele, 2016. "Sovereign debt and reserves with liquidity and productivity crises," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 166-194.
  21. Alessandro Dovis & Luigi Bocola, 2015. "Indeterminacy in Sovereign Debt Markets: An Empirical Investigation," 2015 Meeting Papers 694, Society for Economic Dynamics.
  22. Josefin Meyer & Carmen M Reinhart & Christoph Trebesch, 2022. "Sovereign Bonds Since Waterloo," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 137(3), pages 1615-1680.
  23. Kieran Walsh, 2014. "Portfolio Choice and Partial Default in Emerging Markets: a quantitative analysis," 2014 Meeting Papers 789, Society for Economic Dynamics.
  24. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
  25. Yan Bai & Cristina Arellano, 2012. "Linkages across sovereign debt markets," 2012 Meeting Papers 414, Society for Economic Dynamics.
  26. Eichler, Stefan & Plaga, Timo, 2020. "The economic record of the government and sovereign bond and stock returns around national elections," Journal of Banking & Finance, Elsevier, vol. 118(C).
  27. Nitschka, Thomas, 2018. "Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy," Journal of International Money and Finance, Elsevier, vol. 83(C), pages 44-54.
  28. Wenxin Du & Carolin E. Pflueger & Jesse Schreger, 2020. "Sovereign Debt Portfolios, Bond Risks, and the Credibility of Monetary Policy," Journal of Finance, American Finance Association, vol. 75(6), pages 3097-3138, December.
  29. Felix Gerding & Espen Henriksen & Ina Simonovska, 2014. "The Risky Capital of Emerging Markets," NBER Working Papers 20769, National Bureau of Economic Research, Inc.
  30. Sergio Rebelo & Neng Wang & Jinqiang Yang, 2018. "Rare Disasters, Financial Development, and Sovereign Debt," NBER Working Papers 25031, National Bureau of Economic Research, Inc.
  31. Yildirim, Zekeriya, 2016. "Global financial conditions and asset markets: Evidence from fragile emerging economies," Economic Modelling, Elsevier, vol. 57(C), pages 208-220.
  32. Stefan Reitz & Dennis Umlandt, 2019. "Foreign Exchange Dealer Asset Pricing," Working Paper Series 2019-08, University of Trier, Research Group Quantitative Finance and Risk Analysis.
  33. Kürşat Önder, Yasin, 2022. "Liquidity crises, liquidity lines and sovereign risk," Journal of Development Economics, Elsevier, vol. 154(C).
  34. Ina Simonovska & Espen Henriksen, 2013. "Time-Varying Risk Premia and Capital Flows to Developing Countries," 2013 Meeting Papers 1258, Society for Economic Dynamics.
  35. Juan Carlos Hatchondo & Leonardo Martinez & César Sosa-Padilla, 2016. "Debt Dilution and Sovereign Default Risk," Journal of Political Economy, University of Chicago Press, vol. 124(5), pages 1383-1422.
  36. Cristina Arellano & Ananth Ramanarayanan, 2012. "Default and the Maturity Structure in Sovereign Bonds," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 187-232.
  37. Jens Hilscher & Yves Nosbusch, 2010. "Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt," Review of Finance, European Finance Association, vol. 14(2), pages 235-262.
  38. Cristina Arellano & Yan Bai & Sandra Lizarazo, 2017. "Sovereign Risk Contagion," NBER Working Papers 24031, National Bureau of Economic Research, Inc.
  39. Luigi Bocola & Alessandro Dovis, 2019. "Self-Fulfilling Debt Crises: A Quantitative Analysis," American Economic Review, American Economic Association, vol. 109(12), pages 4343-4377, December.
  40. Demian Pouzo & Ignacio Presno, 2015. "Sovereign Default Risk and Uncertainty Premia," Papers 1512.06960, arXiv.org.
  41. Peter Benczur & Cosmin Ilut, 2011. "Evidence for Dynamic Contracts in Sovereign Bank Lending," Working Papers 11-06, Duke University, Department of Economics.
  42. Fabrice Tourre, 2017. "A Macro-Finance Approach to Sovereign Debt Spreads and Returns," 2017 Meeting Papers 13, Society for Economic Dynamics.
  43. Christoph Große Steffen & Maximilian Podstawski, 2016. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Discussion Papers of DIW Berlin 1602, DIW Berlin, German Institute for Economic Research.
  44. Luigi Bocola & Guido Lorenzoni, 2017. "Financial Crises and Lending of Last Resort in Open Economies," Staff Report 557, Federal Reserve Bank of Minneapolis.
  45. Bekaert, Geert & Harvey, Campbell R. & Lundblad, Christian T. & Siegel, Stephan, 2016. "Political risk and international valuation," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 1-23.
  46. Jeanneret, Alexandre, 2018. "Sovereign credit spreads under good/bad governance," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 230-246.
  47. Juan Passadore, 2015. "Illiquidity in Sovereign Debt Markets," 2015 Meeting Papers 191, Society for Economic Dynamics.
  48. Zachary Stangebye & Satyajit Chatterjee & Harold Cole & Mark Aguiar, 2016. "Self-Fulfilling Sovereign Debt Crises," 2016 Meeting Papers 360, Society for Economic Dynamics.
  49. Aguiar, Mark & Amador, Manuel, 2014. "Sovereign Debt," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 647-687, Elsevier.
  50. Asonuma, Tamon, 2014. "Sovereign defaults, external debt and real exchange rate dynamics," MPRA Paper 55133, University Library of Munich, Germany.
  51. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
  52. Sandro C. Andrade & Vidhi Chhaochharia, 2018. "The Costs of Sovereign Default: Evidence from the Stock Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1707-1751.
  53. Moretti, Laura, 2011. "Transparency and emerging market bond spreads," CFS Working Paper Series 2011/14, Center for Financial Studies (CFS).
  54. Marina Azzimonti & Vincenzo Quadrini, 2019. "International spillovers and `ex-ante' efficient bailouts," 2019 Meeting Papers 318, Society for Economic Dynamics.
  55. Flavia Corneli & Emanuele Tarantino, 2011. "Reserve management and sovereign debt cost in a world with liquidity crises," Temi di discussione (Economic working papers) 797, Bank of Italy, Economic Research and International Relations Area.
  56. Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.