Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff
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Chen_Comment on Systemic.pdf
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232.84 KB
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a0c06f7ab7d01b6c4c752d8890cd7386
Author(s)
Chen, Hui
Date Issued
June 2013
Journal
Journal of Monetary Economics
Publisher
Elsevier
Citation
Chen, Hui. “Comment on ‘Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe’ by Ang and Longstaff.” Journal of Monetary Economics 60, 5 (July 2013): 511–516 © 2013 Elsevier B.V.
Version
Original manuscript
Abstract
Is the source of systemic sovereign credit risk the economic linkages among sovereigns that expose them to the common macroeconomic shocks, or is it the financial linkages that spread and amplify shocks originated from one sovereign to the others? This question is of tremendous importance for economists and policy makers. However, as Hansen (2013) points out, while we have a long list of empirical measures of systemic risk (for example, see the survey of Bisias et al., 2012), we still face significant challenges in identifying, measuring, and even defining systemic risk, which present a major hurdle for testing alternative theories of systemic risk.
MIT Department
Sloan School of Management
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Creative Commons Attribution-NonCommercial-NoDerivs License
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DOI of Published Version
https://doi.org/10.1016/j.jmoneco.2013.04.007