IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v51y2016i02p541-587_00.html

Real Economic Shocks and Sovereign Credit Risk

Citations

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


Cited by:

  1. 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.
  2. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1251-1274.
  3. Telila, Henok Fasil, 2023. "Frontier markets sovereign risk: New evidence from spatial econometric models," Finance Research Letters, Elsevier, vol. 58(PD).
  4. Guo, Yanhong & Zhang, Ziyi & Meng, Hui, 2025. "The impact of the COVID-19 pandemic on sovereign debt default risk," Journal of Asian Economics, Elsevier, vol. 99(C).
  5. Hao, Xiangchao & Sun, Qinru & Xie, Fang, 2022. "The COVID-19 pandemic, consumption and sovereign credit risk: Cross-country evidence," Economic Modelling, Elsevier, vol. 109(C).
  6. Chuffart, Thomas & Hooper, Emma, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Energy Economics, Elsevier, vol. 80(C), pages 904-916.
  7. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  8. Mykola Babiak, 2017. "Generalized Disappointment Aversion, Learning, and Asset Prices," CERGE-EI Working Papers wp606, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  9. J. Alsubaiei, Bader & Calice, Giovanni & Vivian, Andrew, 2021. "Sovereign CDS and mutual funds: Global evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
  10. Bostanci, Gorkem & Yilmaz, Kamil, 2020. "How connected is the global sovereign credit risk network?," Journal of Banking & Finance, Elsevier, vol. 113(C).
  11. Chang, Jeffery (Jinfan) & Du, Huancheng & Lou, Dong & Polk, Christopher, 2022. "Ripples into waves: Trade networks, economic activity, and asset prices," Journal of Financial Economics, Elsevier, vol. 145(1), pages 217-238.
  12. Alin Marius Andrieş & Simona Nistor, 2018. "Systemic Risk and Foreign Currency Positions of Banks: Evidence from Emerging Europe," Eastern European Economics, Taylor & Francis Journals, vol. 56(5), pages 382-421, September.
  13. Dim, Chukwuma & Koerner, Kevin & Wolski, Marcin & Zwart, Sanne, 2022. "Hot off the press: News-implied sovereign default risk," EIB Working Papers 2022/06, European Investment Bank (EIB).
  14. Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
  15. Capasso, Salvatore & D'Uva, Marcella & Fiorelli, Cristiana & Napolitano, Oreste, 2023. "Cross-border Italian sovereign risk transmission in EMU countries," Economic Modelling, Elsevier, vol. 126(C).
  16. Henok Fasil Telila, 2024. "Frontier markets sovereign risk: New evidence from spatial econometric models," French Stata Users' Group Meetings 2024 10, Stata Users Group.
  17. Patrick Augustin & Mikhail Chernov & Dongho Song, 2018. "Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads," NBER Working Papers 24506, National Bureau of Economic Research, Inc.
  18. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G., 2016. "Why do investors buy sovereign default insurance?," CFS Working Paper Series 540, Center for Financial Studies (CFS).
  19. Gül Huyugüzel Kışla & Y. Gülnur Muradoğlu & A. Özlem Önder, 2022. "Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 277-296, July.
  20. C. Ciocirlan & M. Nițoi, 2023. "Sovereign risk connectedness: the impact of ECB’s policy announcements in Central and Eastern Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 1025-1054, November.
  21. Ordoñez-Callamand, Daniel & Gomez-Gonzalez, Jose Eduardo & Melo-Velandia, Luis Fernando, 2017. "Sovereign default risk in OECD countries: Do global factors matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 629-639.
  22. Matthew Greenwood‐Nimmo & Viet Hoang Nguyen & Eliza Wu, 2021. "On the International Spillover Effects of Country‐Specific Financial Sector Bailouts and Sovereign Risk Shocks," The Economic Record, The Economic Society of Australia, vol. 97(317), pages 285-309, June.
  23. Mikhail Chernov & Lukas Schmid & Andres Schneider, 2020. "A Macrofinance View of U.S. Sovereign CDS Premiums," Journal of Finance, American Finance Association, vol. 75(5), pages 2809-2844, October.
  24. Wenxin Du & Jesse Schreger, 2013. "Local Currency Sovereign Risk," International Finance Discussion Papers 1094, Board of Governors of the Federal Reserve System (U.S.).
  25. Tang, Dapeng & Yang, Yiming & Zheng, Hao & Gebrehans, Mebrahtu Tesfagebreal, 2024. "Does reform policy of municipal bonds raise firm risk? A quasi-natural experiment from China," Pacific-Basin Finance Journal, Elsevier, vol. 86(C).
  26. Hannes Boehm, 2022. "Physical climate change and the sovereign risk of emerging economies," Journal of Economic Structures, Springer;Pan-Pacific Association of Input-Output Studies (PAPAIOS), vol. 11(1), pages 1-41, December.
  27. Giovanni Calice & Ming Zeng, 2021. "The term structure of sovereign credit default swap and the cross‐section of exchange rate predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 445-458, January.
  28. Fulop, Andras & Kocsis, Zalan, 2023. "News indices on country fundamentals," Journal of Banking & Finance, Elsevier, vol. 154(C).
  29. Huyugüzel Kışla, Gül & Özlem Önder, A., 2018. "Spatial analysis of sovereign risks: The case of emerging markets," Finance Research Letters, Elsevier, vol. 26(C), pages 47-55.
  30. Ordu-Akkaya, Beyza Mina & Özyıldırım, Süheyla, 2025. "Commodity dependence: Providing information on emerging market CDS spreads when economic indicators are absent," Emerging Markets Review, Elsevier, vol. 67(C).
  31. Kutuk, Yasin & Barokas, Lina, 2022. "Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries," Finance Research Letters, Elsevier, vol. 45(C).
  32. Sunal, Onur & Yağcı, Filiz, 2024. "The determinants of Turkish CDS volatility: An ARDL approach covering COVID period," The Quarterly Review of Economics and Finance, Elsevier, vol. 97(C).
  33. Calice, Giovanni & Lin, Ming-Tsung, 2024. "Sovereign momentum currency returns," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  34. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
  35. Xiaoqing Fu & Matthew C. Li & Philip Molyneux, 2021. "Credit default swap spreads: market conditions, firm performance, and the impact of the 2007–2009 financial crisis," Empirical Economics, Springer, vol. 60(5), pages 2203-2225, May.
  36. Capasso Salvatore & D’Uva Marcella, & Fiorelli Cristiana & Napolitano Oreste, 2022. "Assessing the Impact of Country-Specific Sovereign Risk on Financial and Banking System in EMU: the Role of Italy," CSEF Working Papers 654, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  37. Andrade, Sandro C. & Ekponon, Adelphe & Jeanneret, Alexandre, 2023. "Sovereign risk premia and global macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 172-197.
  38. Chen, Hsien-Yi & Chen, Sheng-Syan, 2018. "Quality of government institutions and spreads on sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 82-95.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.