Systemic sovereign credit risk
Subtitle: lessons from the U.S. and Europe
By: Andrew Ang, Francis A. Longstaff
Contributors: Longstaff, Francis A., 1956-; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16982; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16982.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We study the nature of systemic sovereign credit risk using CDS spreads for the U.S.  Treasury, individual U.S.  states, and major European countries.  Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable heterogeneity across U.S.  and European issuers in their sensitivity to systemic risk.  U.S.  and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S.  sovereigns than among European sovereigns.  We also find that U.S.  and European systemic sovereign risk is 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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 7/7/2011.

Includes bibliographical references.

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