How Sovereign Is Sovereign Credit Risk?

• 成果类型: Article
• 署名作者: Longstaff, Francis A.; Pan, Jun; Pedersen, Lasse H.; Singleton, Kenneth J.
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT); Center for Economic & Policy Research (CEPR); New York University; Stanford University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.3.2.75
• 发表日期: 2011
• 页码: 75-103
• 关键词: yield spreads; default risk; debt; MODEL; repudiation; liquidity; implicit; prices; premia; crises

摘要

We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the US stock and high-yield markets than they are to local economic measures. We decompose credit spreads into their risk premium and default risk components. On average, the risk premium represents about a third of the credit spread. (JEL F34, G15, O16, O19, P34)