scholarly journals Contagion of Fear: Is the Impact of COVID-19 on Sovereign Risk Really Indiscriminate?

2020 ◽  
Author(s):  
Serhan Cevik ◽  
Belma Ozturkkal
Keyword(s):  
Sovereign Risk ◽  
The Impact

scholarly journals What drives sovereign debt maturity in European countries?

2018 ◽  
Vol 65 (2) ◽  
pp. 137-161
Author(s):  
Marcos González-Fernández ◽  
Carmen González-Velasco
Keyword(s):  
Sovereign Debt ◽  
Negative Relationship ◽  
Debt Maturity ◽  
European Countries ◽  
Standard Errors ◽  
Sovereign Risk ◽  
Positive Relation ◽  
Quantile Regressions ◽  
The Impact ◽  
Entire Distribution

The aim of this paper is to study the determinants of sovereign debt maturity for 23 European countries during the period between 1995 and 2013. For this purpose, we use quantile regressions with robust standard errors clustered by countries to consider the impact of the determinants in the entire distribution. The results indicate a positive relation between the level of debt of the country and sovereign debt maturity, particularly for countries with the lowest debt maturity. We also find evidence of a negative relationship between sovereign risk and debt maturity for the lowest and intermediate values of the debt maturity.

scholarly journals The impact of war and terrorism on sovereign risk in the Middle East

2008 ◽  
Vol 14 (3-4) ◽  
pp. 237-250 ◽  
Author(s):  
Mahmoud Haddad ◽  
Sam Hakim
Keyword(s):  
Middle East ◽  
Sovereign Risk ◽  
The Impact

scholarly journals This Changes Everything

2020 ◽  
Vol 20 (79) ◽  
Author(s):  
Serhan Cevik ◽  
João Tovar Jalles
Keyword(s):  
Climate Change ◽  
Developing Countries ◽  
Global Economy ◽  
Statistical Significance ◽  
Large Body ◽  
Economic Consequences ◽  
Sovereign Risk ◽  
Bond Yields ◽  
The Cost ◽  
The Impact

Climate change is already a systemic risk to the global economy. While there is a large body of literature documenting potential economic consequences, there is scarce research on the link between climate change and sovereign risk. This paper therefore investigates the impact of climate change vulnerability and resilience on sovereign bond yields and spreads in 98 advanced and developing countries over the period 1995–2017. We find that the vulnerability and resilience to climate change have a significant impact on the cost government borrowing, after controlling for conventional determinants of sovereign risk. That is, countries that are more resilient to climate change have lower bond yields and spreads relative to countries with greater vulnerability to risks associated with climate change. Furthermore, partitioning the sample into country groups reveals that the magnitude and statistical significance of these effects are much greater in developing countries with weaker capacity to adapt to and mitigate the consequences of climate change.

scholarly journals Developing Countries' Attractiveness for Foreign Direct Investment - Debt Overhang and Sovereign Risk as Major Impediments?

1991 ◽  
Vol 30 (4II) ◽  
pp. 1145-1158 ◽  
Author(s):  
Peter Nunnenkamp
Keyword(s):  
Developing Countries ◽  
Foreign Direct Investment ◽  
Direct Investment ◽  
Sovereign Risk ◽  
Financial Flows ◽  
Fdi Inflows ◽  
Debt Overhang ◽  
Private Lending ◽  
The Impact ◽  
The Empirical Analysis

With declining debt inflows, foreign direct investment (FDI) has again become one of the major pillars of private financial flows to developing countries (Des). This has created some expectation to replace private bank olending by FDI. However, many heavily indebted countries may not only be constrained in terms of new private lending, but also in terms of FDI inflows. In order to overcome constraints in the supply of FDI, the determinants of FDI flows have to be identified in the first place. This has been done by the Kiel Institute of World Economics in a comprehensive study commissioned by the World Bank. The present paper summarizes some of the major results for details, see Agarwal et aZ. (1991). The focus is on the impact of sovereign risk on FDI and on possible disincentives for FDI arising from a debt overhang, i.e. on those aspects that reflect the most important recent changes in international capital market conditions. The empirical analysis concentrates on the 1980s. Regressions are run for an overall sample of about 35 host Des and for various subgroups. The paper is organized as follows. Section II presents the major hypotheses. The empirical results are summarized in Sections III and IV. Finally, some policy conclusions are drawn in Section V.

scholarly journals Determinants of credit default swaps implied ratings during the crisis: was sovereign risk mispriced?

2018 ◽  
Vol 15 (3) ◽  
pp. 1-14
Author(s):  
Maria Alberta Oliveira ◽  
Carlos Santos
Keyword(s):  
Risk Premium ◽  
Probit Model ◽  
Credit Default Swaps ◽  
Matching Theory ◽  
Model Specification ◽  
Sovereign Risk ◽  
Global Risk ◽  
Varying Coefficients ◽  
Credit Default ◽  
The Impact

This paper addresses the question of whether sovereign risk pricing was related to macroeconomic fundamentals, between 2007 and 2015, in a sample of OECD countries. The authors argue that the conflicting evidence in the literature is due to poor methodology options. The researchers innovate by modelling sovereign credit default swaps implied ratings as our sovereign risk proxy, instead of spreads, avoiding common pitfalls. Furthermore, the authors improve the variable selection, model specification and the econometric procedures used. A panel ordered probit model is chosen, assuring robust inference. The authors relax the parallel lines assumption, allowing for rating-varying coefficients of explanatory variables. The result is the first congruent model of sovereign risk during the years of the financial crisis and of the Euro Area crisis. Fiscal space variables, economic activity indicators, variables pertaining to external imbalances, and contagion proxies are relevant, with effects matching theory priors. The scientists clarify conundrums in the previous literature, posed by lack of significance of some macro fundamentals and by puzzling signs of some estimated coefficients. Moreover, this is the first paper to estimate not only the global risk premium, but also the impact of changing risk aversion. The authors find no support for claims of sovereign risk mispricing during the sample period. The results allow relevant policy conclusions, namely concerning the validity of different fiscal consolidation paths in financially distressed countries.

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