Systemic sovereign credit risk: Lessons from the US and Europe
Systemic sovereign credit risk: Lessons from the US and Europe
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DOI：
10.1016/j.jmoneco.2013.04.009
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发表时间：
2013-07-01
影响因子：
4.1
通讯作者：
Longstaff, Francis A.
中科院分区：
文献类型：
--
作者：
Ang, Andrew;Longstaff, Francis A.
我们使用美国财政部、美国各州和主要欧元区国家的CDS利差来研究系统性主权信用风险的性质。使用多因素仿射框架，允许系统性和主权特定的信用冲击，我们发现，美国主权国家之间的系统性风险比欧元区主权国家之间的小得多。我们发现，美国和欧元区的系统性主权风险与金融市场变量密切相关。这些结果为系统性主权风险根源于金融市场而不是宏观经济基本面的观点提供了强有力的支持。(c)2013爱思唯尔有限公司版权所有。
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major Eurozone countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is much less systemic risk among U.S. sovereigns than among Eurozone sovereigns. We find that both U.S. and Eurozone systemic sovereign risk are strongly related to financial market variables. These results provide strong support for the view that systemic sovereign risk has its roots in financial markets rather than in macroeconomic fundamentals. (c) 2013 Elsevier B.V. All rights reserved.