| dc.contributor.author | Longstaff, Francis A. | |
| dc.contributor.author | Pan, Jun | |
| dc.contributor.author | Pederson, Lasse H. | |
| dc.contributor.author | Singleton, Kenneth J. | |
| dc.date.accessioned | 2011-08-31T20:06:58Z | |
| dc.date.available | 2011-08-31T20:06:58Z | |
| dc.date.issued | 2011-04 | |
| dc.identifier.issn | 1945-7715 | |
| dc.identifier.issn | 1945-7707 | |
| dc.identifier.uri | http://hdl.handle.net/1721.1/65581 | |
| dc.description.abstract | 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 principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the US stock and high-yield markets than they are to local economic measures. We decompose credit spreads into their risk premium and default risk components. On average, the risk premium represents about a third of the credit spread. | en_US |
| dc.language.iso | en_US | |
| dc.publisher | American Economic Association | en_US |
| dc.relation.isversionof | http://www.aeaweb.org/articles.php?doi=10.1257/mac.3.2.75 | en_US |
| dc.rights | Creative Commons Attribution-Noncommercial-Share Alike 3.0 | en_US |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | en_US |
| dc.source | MIT web domain | en_US |
| dc.title | How Sovereign Is Sovereign Credit Risk? | en_US |
| dc.type | Article | en_US |
| dc.identifier.citation | Longstaff, Francis A et al. “How Sovereign Is Sovereign Credit Risk?” American Economic Journal: Macroeconomics 3.2 (2011) : 75-103. | en_US |
| dc.contributor.department | Sloan School of Management | en_US |
| dc.contributor.approver | Pan, Jun | |
| dc.contributor.mitauthor | Pan, Jun | |
| dc.relation.journal | American Economic Journal: Macroeconomics | en_US |
| dc.eprint.version | Author's final manuscript | en_US |
| dc.type.uri | http://purl.org/eprint/type/JournalArticle | en_US |
| eprint.status | http://purl.org/eprint/status/PeerReviewed | en_US |
| dspace.orderedauthors | Longstaff, Francis A; Pan, Jun; Pedersen, Lasse H; Singleton, Kenneth J | en |
| dc.identifier.orcid | https://orcid.org/0000-0003-0161-9465 | |
| mit.license | OPEN_ACCESS_POLICY | en_US |
| mit.metadata.status | Complete | |
