create a website

The effect of economic and political uncertainty on sovereign CDS spreads. (2024). Pan, Wei-Fong ; Xiao, Yaqing ; Wang, Xinjie ; Xu, Weike ; Zhang, Jinfan.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:89:y:2024:i:pa:p:143-155.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 44

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Liquidity pressure and the sovereign-bank diabolic loop. (2024). Hassan, M. Kabir ; Janbaz, M ; Floreani, J ; Dreassi, A.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:93:y:2024:i:pa:p:1039-1057.

    Full description at Econpapers || Download paper

  2. Economic uncertainty and credit risk: Evidence from international corporate bonds. (2024). Valenzuela, Patricio ; Mella, Javier ; Claveria, Juan.
    In: Economics Letters.
    RePEc:eee:ecolet:v:237:y:2024:i:c:s0165176524001496.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Acharya, V. ; Drechsler, I. ; Schnabl, P. A pyrrhic victory? Bank bailouts and sovereign credit risk. 2014 The Journal of Finance. 69 2689-2739

  2. Alexopoulos, M. ; Cohen, J. The power of print: Uncertainty shocks, markets, and the economy. 2015 International Review of Economics & Finance. 40 8-28

  3. Atkeson, A. International lending with moral hazard and risk of repudiation. 1991 Econometrica. 59 1069-1089

  4. Augustin, P. The term structure of CDS spreads and sovereign credit risk. 2018 Journal of Monetary Economics. 96 53-76

  5. Avino, D.E. ; Cotter, J. Sovereign and bank CDS spreads: Two sides of the same coin?. 2014 Journal of International Financial Markets, Institutions and Money. 32 72-85

  6. Baker, S.R. ; Bloom, N. ; Davis, S.J. Measuring economic policy uncertainty. 2016 Quarterly Journal of Economics. 131 1593-1636

  7. Beetsma, R. ; Giuliodori, M. ; De Jong, F. ; Widijanto, D. Spread the news: The impact of news on the European sovereign bond markets during the crisis. 2013 Journal of International Money and Finance. 34 83-101

  8. Berg, A. ; Sachs, J. The debt crisis: Structural explanations of country performance. 1988 Journal of Development Economics. 29 271-306

  9. Blanco, R. ; Brennan, S. ; Marsh, I.W. An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps. 2005 The Journal of Finance. 60 2255-2281

  10. Blau, B.M. ; Roseman, B.S. The reaction of European credit default swap spreads to the US credit rating downgrade. 2014 International Review of Economics & Finance. 34 131-141

  11. Bloom, N. Fluctuations in uncertainty. 2014 The Journal of Economic Perspectives. 28 153-176

  12. Boehmer, E. ; Megginson, W.L. Determinants of secondary market prices for developing country syndicated loans. 1990 The Journal of Finance. 45 1517-1540

  13. Brogaard, J. ; Detzel, A. The asset-pricing implications of government economic policy uncertainty. 2015 Management Science. 61 3-18

  14. Bulow, J. ; Rogoff, K. Sovereign debt: Is to forgive to forget?. 1989 The American Economic Review. 79 43-50

  15. Cochrane, J.H. ; Piazzesi, M. Bond risk premia. 2005 The American Economic Review. 95 138-160
    Paper not yet in RePEc: Add citation now
  16. Cuadra, G. ; Sapriza, H. Sovereign default, interest rates and political uncertainty in emerging markets. 2008 Journal of International Economics. 76 78-88

  17. Doshi, H. ; Jacobs, K. ; Zurita, V. Economic and financial determinants of credit risk premiums in the sovereign CDS market. 2017 Review of Asset Pricing Studies. 7 43-80

  18. Duffie, D. ; Pedersen, L.H. ; Singleton, K.J. Modeling sovereign yield spreads: A case study of Russian debt. 2003 The Journal of Finance. 58 119-159

  19. Fontana, A. ; Scheicher, M. An analysis of euro area sovereign CDS and their relation with government bonds. 2016 Journal of Banking & Finance. 62 126-140

  20. Garman, M.B. ; Klass, M.J. On the estimation of security price volatilities from historical data. 1980 Journal of Business. 53 67-78

  21. Gerlach, S. ; Schulz, & A. ; Wolff, G.B. Banking and sovereign risk in the Euro area. 2010 Deutsche Bundesbank Discussion Paper:

  22. Gilchrist, S. ; Zakrajsek, E. Credit spreads and business cycle fluctuations. 2012 The American Economic Review. 102 1692-1720

  23. Grossman, H.I. ; Van Huyck, J.B. Sovereign debt as a contingent claim: Excusable default, repudiation, and reputation. 1988 The American Economic Review. 78 1088-1097

  24. Gulen, H. ; Ion, M. Policy uncertainty and corporate investment. 2016 Review of Financial Studies. 29 523-564

  25. Gündüz, Y. ; Kaya, O. Impacts of the financial crisis on eurozone sovereign CDS spreads. 2014 Journal of International Money and Finance. 49 425-442

  26. Han, B. ; Subrahmanyam, A. ; Zhou, Y. Term structure of credit default swap spreads and cross-section of stock returns. 2017 Journal of Financial Economics. 124 147-171
    Paper not yet in RePEc: Add citation now
  27. Im, K.S. ; Pesaran, M.H. ; Shin, Y. Testing for unit roots in heterogeneous panels. 2003 Journal of Econometrics. 115 53-74

  28. Kallestrup, R. ; Lando, D. ; Murgoci, A. Financial sector linkages and the dynamics of bank and sovereign credit spreads. 2016 Journal of Empirical Finance. 38 374-393

  29. Kim, S.J. ; Salem, L. ; Wu, E. The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the US, the Eurozone and China. 2015 Journal of Financial Stability. 18 208-224

  30. Levin, A. ; Lin, C.F. ; Chu, C.S.J. Unit root tests in panel data: Asymptotic and finite-sample properties. 2002 Journal of Econometrics. 108 1-24

  31. Longstaff, F.A. ; Mithal, S. ; Neis, E. Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. 2005 The Journal of Finance. 60 2213-2253

  32. Longstaff, F.A. ; Pan, J. ; Pedersen, L.H. ; Singleton, K.J. How sovereign is sovereign credit risk?. 2011 American Economic Journal: Macroeconomics. 3 75-103

  33. Maddala, G.S. ; Wu, S. A comparative study of unit root tests with panel data and a new simple test. 1999 Oxford Bulletin of Economics & Statistics. 61 631-652

  34. Makinen, T. ; Sarno, L. ; Zinna, G. Risky bank guarantees. 2019 Journal of Financial Economics. -

  35. Pastor, L. ; Veronesi, P. Political uncertainty and risk premia. 2013 Journal of Financial Economics. 110 520-545

  36. Pouzo, D. ; Presno, I. Sovereign default risk and uncertainty premia. 2016 American Economic Journal: Macroeconomics. 8 230-266

  37. Remolona, E.M. ; Scatigna, M. ; Wu, E. The dynamic pricing of sovereign risk in emerging markets: Fundamentals and risk aversion. 2008 Journal of Fixed Income. 17 57-71
    Paper not yet in RePEc: Add citation now
  38. Srivastava, S. ; Lin, H. ; Premachandra, I.M. ; Roberts, H. Global risk spillover and the predictability of sovereign CDS spread: International evidence. 2016 International Review of Economics & Finance. 41 371-390

  39. Ulrich, M. Economic policy uncertainty & asset price volatility. 2012 :
    Paper not yet in RePEc: Add citation now
  40. Wang, X. ; Wu, Y. ; Xu, W. Geopolitical risk and investment, working paper. 2019 :
    Paper not yet in RePEc: Add citation now
  41. Wang, X. ; Xu, W. ; Zhong, Z. Economic policy uncertainty, CDS spreads, and CDS liquidity provision. 2019 Journal of Futures Markets. 39 461-480

  42. Wang, Y. ; Chen, C.R. ; Huang, Y.S. Economic policy uncertainty and corporate investment: Evidence from China. 2014 Pacific-Basin Finance Journal. 26 227-243

  43. Wisniewski, T.P. ; Lambe, B.J. Does economic policy uncertainty drive CDS spreads?. 2015 International Review of Financial Analysis. 42 447-458

  44. Yu, F. Modeling expected return on defaultable bonds. 2002 Journal of Fixed Income. 12 69-81
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Short-Selling Bans and Bank Stability. (2020). Simonelli, Saverio ; Pagano, Marco ; Beber, Alessandro ; Fabbri, Daniela.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:423.

    Full description at Econpapers || Download paper

  2. The Pecking Order of Segmentation and Liquidity-Injection Policies in a Model of Contagious Crises. (2020). Guembel, Alexander ; Sussman, Oren.
    In: Post-Print.
    RePEc:hal:journl:hal-02929541.

    Full description at Econpapers || Download paper

  3. Risky bank guarantees. (2020). Zinna, Gabriele ; Sarno, Lucio ; Mäkinen, Taneli ; Makinen, Taneli.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:136:y:2020:i:2:p:490-522.

    Full description at Econpapers || Download paper

  4. Domestic Banks as Lightning Rods? Home Bias and Information during the Eurozone Crisis. (2019). Saka, Orkun.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7939.

    Full description at Econpapers || Download paper

  5. Private bank deposits and macro/fiscal risk in the euro-area. (2019). Gadea, María ; Arghyrou, Michael.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2019/6.

    Full description at Econpapers || Download paper

  6. International financial integration, crises and monetary policy: evidence from the Euro area interbank crises. (2017). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1566.

    Full description at Econpapers || Download paper

  7. The changing international network of sovereign debt and financial institutions. (2017). Volkov, Vladimir ; Dungey, Mardi ; Harvey, John.
    In: Working Papers.
    RePEc:tas:wpaper:23500.

    Full description at Econpapers || Download paper

  8. Bank Exposures and Sovereign Stress Transmission. (2017). Simonelli, Saverio ; Pagano, Marco ; Altavilla, Carlo.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:410.

    Full description at Econpapers || Download paper

  9. Do stress tests matter? Evidence from the 2014 and 2016 stress tests. (2017). Kok, Christoffer ; Georgescu, Oana-Maria ; Gross, Marco ; Kapp, Daniel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20172054.

    Full description at Econpapers || Download paper

  10. Financial Stability in Europe: Banking and Sovereign Risk. (2017). Kočenda, Evžen ; Bruha, Jan ; Kocenda, Even.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6453.

    Full description at Econpapers || Download paper

  11. International Financial Integration, Crises and Monetary Policy: Cross-Border Interbank Lending During the Euro Crises. (2017). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Working Papers.
    RePEc:bge:wpaper:965.

    Full description at Econpapers || Download paper

  12. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Lane, Philip ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano.
    In: CSEF Working Papers.
    RePEc:sef:csefwp:427.

    Full description at Econpapers || Download paper

  13. CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:demwp0116.

    Full description at Econpapers || Download paper

  14. Economic Volatility and Sovereign Yields’ Determinants: a Time-Varying Approach. (2016). Jalles, Joao ; Afonso, Antonio.
    In: Working Papers Department of Economics.
    RePEc:ise:isegwp:wp042016.

    Full description at Econpapers || Download paper

  15. The Sovereign-Bank Diabolic Loop and ESBies. (2016). Vayanos, Dimitri ; Van Nieuwerburgh, Stijn ; thesmar, david ; Reis, Ricardo ; Pagano, Marco ; Lane, Philip ; Garicano, Luis ; Brunnermeier, Markus ; Santos, Tano.
    In: EIEF Working Papers Series.
    RePEc:eie:wpaper:1603.

    Full description at Econpapers || Download paper

  16. Sovereign defaults by currency denomination. (2016). Souissi, Slim ; Jeanneret, Alexandre.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:60:y:2016:i:c:p:197-222.

    Full description at Econpapers || Download paper

  17. The quest for banking stability in the euro area: The role of government interventions. (2016). Paltalidis, Nikos ; Kizys, Renatas ; Vergos, Konstantinos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:40:y:2016:i:c:p:111-133.

    Full description at Econpapers || Download paper

  18. Increase in home bias in the Eurozone debt crisis: The role of domestic shocks. (2016). Gimet, Céline ; Gandré, Pauline ; Cornand, Camille ; Gandre, Pauline.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:445-469.

    Full description at Econpapers || Download paper

  19. Credit risk spillover between financials and sovereigns in the euro area during 2007-2015. (2016). Vergote, Olivier.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161898.

    Full description at Econpapers || Download paper

  20. Sovereign risk and bank risk-taking. (2016). Ari, Anil.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161894.

    Full description at Econpapers || Download paper

  21. Sovereign to corporate risk spillovers. (2016). Breckenfelder, Johannes ; Boustanifar, Hamid ; Augustin, Patrick ; Schnitzler, Jan.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161878.

    Full description at Econpapers || Download paper

  22. The State Dependent Impact of Bank Exposure on Sovereign Risk. (2016). Podstawski, Maximilian ; Velinov, Anton.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1550.

    Full description at Econpapers || Download paper

  23. Short-Selling Bans and Bank Stability. (2016). Pagano, Marco ; Beber, Alessandro ; Fabbri, Daniela.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11090.

    Full description at Econpapers || Download paper

  24. Monetary policy under the microscope: Intra-bank transmission of asset purchase programs of the ECB. (2015). Koetter, Michael ; Cycon, Lisa .
    In: VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy.
    RePEc:zbw:vfsc15:112831.

    Full description at Econpapers || Download paper

  25. Modeling Systemic Risk with Correlated Stochastic Processes. (2015). Parisi, Laura ; Giudici, Paolo.
    In: DEM Working Papers Series.
    RePEc:pav:demwpp:demwp0110.

    Full description at Econpapers || Download paper

  26. Tax Evasion across Industries: Soft Credit Evidence from Greece. (2015). Tsoutsoura, Margarita ; Artavanis, Nikolaos ; Morse, Adair.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21552.

    Full description at Econpapers || Download paper

  27. Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis. (2015). Stulz, René ; Beltratti, Andrea.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21150.

    Full description at Econpapers || Download paper

  28. The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads. (2015). Fabozzi, Frank ; Giacometti, Rosella ; Tsuchida, Naoshi.
    In: IMES Discussion Paper Series.
    RePEc:ime:imedps:15-e-04.

    Full description at Econpapers || Download paper

  29. Disclosure, banks CDS spreads and the European sovereign crisis. (2015). Refait-Alexandre, Catherine ; Guillemin, François.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01376916.

    Full description at Econpapers || Download paper

  30. Domestic creditors as last lenders in debt crises: a simple model with multiple equilibria. (2015). Gandre, Pauline.
    In: Post-Print.
    RePEc:hal:journl:halshs-01264630.

    Full description at Econpapers || Download paper

  31. Correlated Defaults of UK Banks: Dynamics and Asymmetries. (2015). Zhao, Yang ; Kim, Minjoo ; cerrato, mario ; Crosby, John.
    In: Working Papers.
    RePEc:gla:glaewp:2015_24.

    Full description at Econpapers || Download paper

  32. Securitization and lending standards: Evidence from the European wholesale loan market. (2015). Ongena, Steven ; Marques-Ibanez, David ; Kara, Alper.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:1141.

    Full description at Econpapers || Download paper

  33. Bank leverage and profitability: Evidence from a sample of international banks. (2015). Paladino, Giovanna ; Beltratti, Andrea.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:27:y:2015:i:c:p:46-57.

    Full description at Econpapers || Download paper

  34. The effects of ratings-contingent regulation on international bank lending behavior: Evidence from the Basel 2 Accord. (2015). Wu, Eliza ; Kim, Suk-Joong ; HASAN, IFTEKHAR.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s1:p:s53-s68.

    Full description at Econpapers || Download paper

  35. Transmission channels of systemic risk and contagion in the European financial network. (2015). Paltalidis, Nikos ; Koutelidakis, Yiannis ; Kizys, Renatas ; Gounopoulos, Dimitrios.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:s1:p:s36-s52.

    Full description at Econpapers || Download paper

  36. Contagion and banking crisis – International evidence for 2007–2009. (2015). Gajurel, Dinesh ; Dungey, Mardi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:60:y:2015:i:c:p:271-283.

    Full description at Econpapers || Download paper

  37. Credit default swaps and the market for sovereign debt. (2015). Ismailescu, Iuliana ; Phillips, Blake.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:52:y:2015:i:c:p:43-61.

    Full description at Econpapers || Download paper

  38. Bailout uncertainty in a microfounded general equilibrium model of the financial system. (2015). Cukierman, Alex ; Izhakian, Yehuda.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:52:y:2015:i:c:p:160-179.

    Full description at Econpapers || Download paper

  39. Does sovereign creditworthiness affect bank valuations in emerging markets?. (2015). Williams, Gwion ; ap Gwilym, Owain ; Alsakka, Rasha.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:36:y:2015:i:c:p:113-129.

    Full description at Econpapers || Download paper

  40. The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China. (2015). Wu, Eliza ; Kim, Suk-Joong ; Salem, Leith .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:18:y:2015:i:c:p:208-224.

    Full description at Econpapers || Download paper

  41. Sovereign and corporate credit risk: Evidence from the Eurozone. (2015). Colla, Paolo ; Bedendo, Mascia.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:33:y:2015:i:c:p:34-52.

    Full description at Econpapers || Download paper

  42. Sovereign risk, interbank freezes, and aggregate fluctuations. (2015). Grosse Steffen, Christoph ; Engler, Philipp.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151840.

    Full description at Econpapers || Download paper

  43. Between capture and discretion - The determinants of distressed bank treatment and expected government support. (2015). Ignatowski, Magdalena ; Korte, Josef ; Werger, Charlotte .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151835.

    Full description at Econpapers || Download paper

  44. Domestic creditors as last lenders in debt crises: a simple model with multiple equilibria. (2015). Gandré, Pauline.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-15-00676.

    Full description at Econpapers || Download paper

  45. A theory of bazookas; or, when (and when not) to use large-scale official sector support. (2015). Frost, Jon.
    In: Working Papers.
    RePEc:dnb:dnbwpp:479.

    Full description at Econpapers || Download paper

  46. Determinants and Valuation Effects of the Home Bias in European Banks Sovereign Debt Portfolios. (2015). Ioannidou, Vasso ; Huizinga, Harry ; Horvath, Balint.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10661.

    Full description at Econpapers || Download paper

  47. Cross-Border Liquidity, Relationships and Monetary Policy: Evidence from the Euro Area Interbank Crisis. (2015). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10479.

    Full description at Econpapers || Download paper

  48. Bank failure and bail-in: an introduction. (2015). Wingfield, Venetia ; Chennells, Lucy .
    In: Bank of England Quarterly Bulletin.
    RePEc:boe:qbullt:0179.

    Full description at Econpapers || Download paper

  49. Cross-border liquidity, relationships and monetary policy: Evidence from the Euro area interbank crisis. (2014). Peydro, Jose-Luis ; Fecht, Falko ; Bräuning, Falk ; Abbassi, Puriya ; Brauning, Falk.
    In: Discussion Papers.
    RePEc:zbw:bubdps:452014.

    Full description at Econpapers || Download paper

  50. Sovereign Defaults, Bank Runs, and Contagion. (2014). Luck, Stephan ; Schempp, Paul .
    In: Discussion Paper Series of the Max Planck Institute for Research on Collective Goods.
    RePEc:mpg:wpaper:2014_15.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-23 18:59:14 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.