How sovereign is sovereign credit risk? Global prices, local quantities

• 成果类型: Article
• 署名作者: Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, Marti G.; Tomio, Davide
• 署名单位: McGill University; McGill University; Universite de Montreal; HEC Montreal; New York University; University of Virginia
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2022.07.005
• 发表日期: 2022
• 页码: 92-111
• 关键词: Credit default swaps; Credit risk; debt; Demand and supply; Over-the-counter

摘要

Price fluctuations of sovereign default insurance are dominated by common risks. In con-trast, fluctuations in their quantities are primarily explained by country-specific factors. Using net positions in sovereign default insurance contracts for 60 countries between 2008 and 2015, we show that a country's debt and size explain 75% of cross-country differ-ences in net insured interest. We develop an economic framework showing that high co -movement in prices and low co-movement in quantities can arise jointly only if insurance demand and supply shift in opposite directions in response to global shocks. Positions data support that this evidence is more salient for more intermediated assets.(c) 2022 Elsevier B.V. All rights reserved.