Country risk has become a topic of major concern for the international financial community
over the last two decades. The importance of country ratings is underscored by the existence …

This paper uses a panel data estimation of a simple univariate model of sovereign spreads
on ratings to analyze statistically significant differences between actual spreads and ratings …

We investigate the influence of various fundamental variables on a cross-section of credit
default swap transaction data. Credit default swap rates can be seen as a superior proxy to …

I use detailed data on bond and swap positions of pension funds and insurance companies
(P&Is) in the Netherlands to study demand shifts and their causal effect on government bond …

We analyze the economic and political determinants of country credit risk in both developed
and emerging economies by using sovereign yield spreads as risk indicators. We document …

This research uses Arellano and Bover (1995) and Blundell and Bond (1998) GMM
estimator to pinpoint the determinants of sovereign spreads in thirty-one emerging …

This paper analyzes determinants of country default risk in emerging markets, reflected by
sovereign yield spreads. The results reported so far in the literature are heterogeneous with …

I develop a formal model that could provide quantitative guidance to practitioners who use
sovereign yield spreads in emerging market asset valuation. The model provides analytical …

We investigate the influence of various fundamental variables on a cross-section of credit
default swap rates. Credit default swap rates can be seen as an alternative proxy for credit …

We study the determinants of country default risk by applying a Multiple Indicators Multiple
Causes (MIMIC) model. This accounts for the fact that country default risk is an unobservable …