Sovereign risk and financial risk

• 成果类型: Article; Proceedings Paper
• 署名作者: Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon
• 署名单位: New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2022.103603
• 发表日期: 2022
• 关键词: Sovereign bonds; CDS; Global financial risk; Excess bond premium; Global financial cycle

摘要

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollardenominated bonds issued by over 50 countries from 1995 to 2020 and use various indicators to measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global financial risk causes a large and persistent widening of sovereign bond spreads. These effects are strongest when measuring global risk using the excess bond premium - a measure of the risk-bearing capacity of U.S. financial intermediaries. The spillover effects of global financial risk are more pronounced for speculative-grade sovereign bonds.(c) 2022 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).