How sovereign is sovereign credit risk?
We study the nature of sovereign credit risk using an extensive set of sovereign CDS data.
We find that the majority of sovereign credit risk can be linked to global factors. A single …
We find that the majority of sovereign credit risk can be linked to global factors. A single …
Emerging market instability: do sovereign ratings affect country risk and stock returns?
G Kaminsky, SL Schmukler - The World Bank Economic Review, 2002 - academic.oup.com
Abstract Changes in sovereign debt ratings and outlooks affect financial markets in
emerging economies. They affect not only the instrument being rated (bonds) but also …
emerging economies. They affect not only the instrument being rated (bonds) but also …
What drives international financial flows? Politics, institutions and other determinants
E Papaioannou - Journal of Development economics, 2009 - Elsevier
This paper uses a large panel of financial flow data from banks to assess how institutions
affect international lending. First, employing a time varying composite institutional quality …
affect international lending. First, employing a time varying composite institutional quality …
Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries
G Capelle-Blancard, P Crifo, MA Diaye… - Journal of Banking & …, 2019 - Elsevier
We study whether and how a country's environmental, social, and governance (ESG)
performance relates to its sovereign borrowing costs in international capital markets. We …
performance relates to its sovereign borrowing costs in international capital markets. We …
Home away from home? Foreign demand and London house prices
C Badarinza, T Ramadorai - Journal of Financial Economics, 2018 - Elsevier
Identifying the effects of “flights to safety” on asset prices using pure time-series methods is
difficult because crises are infrequent. We develop a new cross-sectional identification …
difficult because crises are infrequent. We develop a new cross-sectional identification …
The dynamics of BRICS's country risk ratings and domestic stock markets, US stock market and oil price
S Hammoudeh, R Sari, M Uzunkaya, T Liu - Mathematics and Computers in …, 2013 - Elsevier
Abstract BRICS (Brazil, Russia, India, China and South Africa) are viewed currently as pillars
of relative political, economic and financial stability, with the prospect of a major shift in …
of relative political, economic and financial stability, with the prospect of a major shift in …
The impact of news on the exchange rate of the lira and long-term interest rates
F Fornari, C Monticelli, M Pericoli, M Tivegna - Economic Modelling, 2002 - Elsevier
This paper analyzes the impact of scheduled and unscheduled news on several Italian
financial variables, paying particular attention to the effect on the conditional volatility of …
financial variables, paying particular attention to the effect on the conditional volatility of …
Sovereign bonds and socially responsible investment
B Drut - Journal of Business Ethics, 2010 - Springer
This article investigates how the mean–variance efficient frontier defined by sovereign
bonds of 20 developed countries is affected by the consideration of socially responsible …
bonds of 20 developed countries is affected by the consideration of socially responsible …
Environmental, Social and Governance (ESG) performance and sovereign bond spreads: an empirical analysis of OECD countries
G Capelle-Blancard, P Crifo, MA Diaye… - Available at SSRN …, 2016 - papers.ssrn.com
What are the determinants of borrowing cost in international capital markets? Apart from
macroeconomic fundamentals, are there any qualitative factors that might capture sovereign …
macroeconomic fundamentals, are there any qualitative factors that might capture sovereign …
The relationship between disaggregated country risk ratings and stock market movements: An ARDL approach
R Sari, M Uzunkaya, S Hammoudeh - Emerging markets finance …, 2013 - Taylor & Francis
We examine the relationships between disaggregated country risk ratings and stock market
movements in Turkey, using the autoregressive distributed lag approach. The long-and short …
movements in Turkey, using the autoregressive distributed lag approach. The long-and short …