2026-09-22T17:32:05Zhttps://dspace.mit.edu/server/oai/requestoai:dspace.mit.edu:1721.1/1245832021-07-05T14:03:20Zcom_1721.1_7582com_1721.1_7581col_1721.1_131023
Adrien Verdelhan.
Elias, Leonardo Ariel.
Sloan School of Management.
Sloan School of Management
2020-04-13T18:27:48Z
2020-04-13T18:27:48Z
2019
2019
https://hdl.handle.net/1721.1/124583
1149013770
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019
Cataloged from PDF version of thesis.
Includes bibliographical references (pages 21-22).
I study the effects of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of sovereign distress to the real economy by studying the cross-sectional response of security prices (corporate CDS spreads and stock returns) to global shocks. I find that positive macroeconomic surprises in the US systematically reduce sovereign spreads consistent with the view that global investors price sovereign risk. However, I find that both the size and the sign of the effect depend on the business cycle in the US. During contractionary periods the positive effect of news is greatly reduced, often erased, and sometimes reversed. I also find evidence of asymmetric and non-linear effects. Moreover, I find that country characteristics such as its credit rating, its debt-to-GDP ratio, and measures of economic integration play a crucial role in determining the country's response to US shocks.
by Leonardo Ariel Elias.
S.M. in Management Research
S.M.inManagementResearch Massachusetts Institute of Technology, Sloan School of Management
45 pages ;
eng
Massachusetts Institute of Technology
MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission.
http://dspace.mit.edu/handle/1721.1/7582
Sloan School of Management.
Global factors and the pricing of sovereign risk
Thesis
application/pdf
2020-04-13T18:27:19Z
Publication
Master
Sloan
unknown
unknown
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<Abstract>I study the effects of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of sovereign distress to the real economy by studying the cross-sectional response of security prices (corporate CDS spreads and stock returns) to global shocks. I find that positive macroeconomic surprises in the US systematically reduce sovereign spreads consistent with the view that global investors price sovereign risk. However, I find that both the size and the sign of the effect depend on the business cycle in the US. During contractionary periods the positive effect of news is greatly reduced, often erased, and sometimes reversed. I also find evidence of asymmetric and non-linear effects. Moreover, I find that country characteristics such as its credit rating, its debt-to-GDP ratio, and measures of economic integration play a crucial role in determining the country's response to US shocks.</Abstract>
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