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   Articles with "sovereign credit" as a keyword



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Asymmetric and nonlinear dynamics in sovereign credit risk markets

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recommendations! Published in 2018 at "Journal of Futures Markets"

DOI: 10.1002/fut.21896

Abstract: We employ asymmetric and nonlinear error correction models to characterize the price discovery and volatility interactions between the sovereign CDS and bond spreads for 22 reference entities. We find asymmetric, nonlinear, and bidirectional short and… read more here.

Keywords: dynamics sovereign; markets asymmetric; credit risk; nonlinear dynamics ... See more keywords
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Portfolio diversification in the sovereign credit swap markets

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recommendations! Published in 2018 at "Annals of Operations Research"

DOI: 10.1007/s10479-017-2565-5

Abstract: We develop models for portfolio diversification in the sovereign credit default swaps (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient idiosyncratic risk to… read more here.

Keywords: portfolio; diversification; sovereign credit; portfolio diversification ... See more keywords
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Sovereign credit risk and economic risk in Turkey: Empirical evidence from a wavelet coherence approach

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recommendations! Published in 2020 at "Borsa Istanbul Review"

DOI: 10.1016/j.bir.2019.06.003

Abstract: Abstract This study aims to shed light on the co-movement of sovereign credit risk and economic risk in Turkey using the Toda–Yamamoto causality, Gradual Shift causality, and Wavelet Coherence tests. The study answers the following… read more here.

Keywords: economic risk; credit risk; sovereign credit; risk ... See more keywords
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Sovereign credit ratings: Discovering unorthodox factors and variables

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recommendations! Published in 2020 at "Global Finance Journal"

DOI: 10.1016/j.gfj.2020.100548

Abstract: Abstract The presence of different rating agencies and nuanced viewpoints on the determinants of sovereign credit ratings has led to convoluted and contested narratives; hence a need to arrive at common ground on both the… read more here.

Keywords: credit ratings; sovereign credit; factors variables; unorthodox factors ... See more keywords
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Do sovereign credit ratings matter for foreign direct investments

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recommendations! Published in 2018 at "Journal of International Financial Markets, Institutions and Money"

DOI: 10.1016/j.intfin.2018.01.003

Abstract: Abstract This paper examines the relationship between sovereign credit ratings and FDI flows from 31 OECD donor countries to 72 recipient (OECD and non-OECD) countries over the period of 1985–2012. There are three main findings… read more here.

Keywords: credit; credit ratings; sovereign credit; credit rating ... See more keywords
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Non-performing loans and sovereign credit ratings

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recommendations! Published in 2019 at "International Review of Financial Analysis"

DOI: 10.1016/j.irfa.2019.06.002

Abstract: This paper examines the joint behaviour of sovereign ratings and their macroeconomic/financial determinants (namely uncertainty, GDP growth, government debt-to-GDP ratio, investment-to-GDP ratio and the fiscal balance-to-GDP ratio) in a multivariate Panel Vector Autoregressive (PVAR) framework.… read more here.

Keywords: performing loans; loans sovereign; gdp ratio; non performing ... See more keywords
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Quality of government institutions and spreads on sovereign credit default swaps

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recommendations! Published in 2018 at "Journal of International Money and Finance"

DOI: 10.1016/j.jimonfin.2018.05.008

Abstract: We examine how the quality of government institutions affects the likelihood of sovereign default. We find both economically and statistically significant adverse effects of country governance indicators on sovereign credit default swap spreads. The evidence… read more here.

Keywords: government institutions; default; credit default; sovereign credit ... See more keywords
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Sovereign credit ratings and bank funding cost: Evidence from Africa

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recommendations! Published in 2017 at "Research in International Business and Finance"

DOI: 10.1016/j.ribaf.2017.07.024

Abstract: Abstract This paper aims to examine the relationship between sovereign credit ratings and funding costs of banks and also the relationship between sovereign credit ratings. Using over 300 banks operating in Africa from 2006 to… read more here.

Keywords: credit ratings; sovereign credit; sovereign; funding ... See more keywords
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SOVEREIGN CREDIT RISK, MACROECONOMIC DYNAMICS, AND FINANCIAL CONTAGION: EVIDENCE FROM JAPAN

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recommendations! Published in 2017 at "Macroeconomic Dynamics"

DOI: 10.1017/s1365100516000122

Abstract: We try to understand the nature of Japan's sovereign credit risk by examining the interaction between Japan's sovereign credit default swap (CDS) spreads and its financial indicators of macroeconomic fundamentals. We consider potential contagion from… read more here.

Keywords: credit; sovereign credit; japan; contagion ... See more keywords
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Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach

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recommendations! Published in 2018 at "Journal of Asset Management"

DOI: 10.1057/s41260-017-0068-1

Abstract: This paper explores systemic risk spillovers between sovereign credit default swaps (CDS) returns in Europe during the period 2006–2016. We model spillovers using a spatial regression approach that allows us to analyze the effects of… read more here.

Keywords: risk; systemic risk; credit default; sovereign credit ... See more keywords
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Spillovers across European sovereign credit markets and role of surprise and uncertainty

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recommendations! Published in 2019 at "Applied Economics"

DOI: 10.1080/00036846.2019.1659930

Abstract: ABSTRACT We identify the network structure of spillovers and time-varying spillover intensities across European sovereign credit markets proposing a novel Copula-Granger causality based structural vector auto-regressive (SVAR) approach. Via the proposed framework, we examine the… read more here.

Keywords: credit; surprise uncertainty; sovereign credit; across european ... See more keywords