How Sovereign Is Sovereign Credit Risk?

被引：538

作者：

Longstaff, Francis A. ^{[1
,2
]}

Pan, Jun ^{[2
,3
]}

Pedersen, Lasse H. ^{[2
,4
]}

Singleton, Kenneth J. ^{[2
,5
]}

机构：

[1] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90095 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] MIT, Sloan Sch Management, Cambridge, MA 02142 USA

[4] NYU, Stern Sch Business, Ctr Econ Policy Res, New York, NY 10012 USA

[5] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA

来源：

AMERICAN ECONOMIC JOURNAL-MACROECONOMICS | 2011年 / 3卷 / 02期

关键词：

YIELD SPREADS; DEFAULT RISK; DEBT; MODEL; REPUDIATION; LIQUIDITY; IMPLICIT; PRICES; PREMIA; CRISES;

D O I：

10.1257/mac.3.2.75

中图分类号：

F [经济];

学科分类号：

02 ;

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)

引用

页码：75 / 103

页数：29

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