Systemic sovereign credit risk: Lessons from the US and Europe
成果类型：
Article
署名作者：
Ang, Andrew; Longstaff, Francis A.
署名单位：
Columbia University; University of California System; University of California Los Angeles
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2013.04.009
发表日期：
2013
页码：
493-510
关键词：
摘要：
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major Eurozone countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is much less systemic risk among U.S. sovereigns than among Eurozone sovereigns. We find that both U.S. and Eurozone systemic sovereign risk are strongly related to financial market variables. These results provide strong support for the view that systemic sovereign risk has its roots in financial markets rather than in macroeconomic fundamentals. (c) 2013 Elsevier B.V. All rights reserved.
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