The DOI matches its Crossref record; 22 of the 22 references it cites were found in a registry or an index.
How Sovereign Is Sovereign Credit Risk?
Open accessAbstract
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)
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity
White, H. (1980) · Econometrica · doi:10.2307/1912934 · Cited by 25,861
Market Liquidity and Funding Liquidity
Brunnermeier, M. K., & Pedersen, L. H. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn098 · Cited by 4,835
Self-citationDebt with Potential Repudiation: Theoretical and Empirical Analysis
Eaton, J., & Gersovitz, M. (1981) · The Review of Economic Studies · doi:10.2307/2296886 · Cited by 2,603
Modeling Term Structures of Defaultable Bonds
Duffie, D., & Singleton, K. J. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.4.687 · Cited by 2,542
Self-citationCorporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market
LONGSTAFF, F. A., MITHAL, S., & NEIS, E. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00797.x · Cited by 2,087
Self-citationExpected Stock Returns and Variance Risk Premia
Bollerslev, T., Tauchen, G., & Zhou, H. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhp008 · Cited by 1,774
International Asset Allocation With Regime Shifts
Ang, A., & Bekaert, G. (2002) · Review of Financial Studies · doi:10.1093/rfs/15.4.1137 · Cited by 1,729
The jump-risk premia implicit in options: evidence from an integrated time-series study
Pan, J. (2002) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00088-5 · Cited by 1,656
Self-citationOn the Estimation of Security Price Volatilities from Historical Data
Garman, M. B., & Klass, M. J. (1980) · The Journal of Business · doi:10.1086/296072 · Cited by 1,533
Cochrane, J. H., & Piazzesi, M. (2005) · American Economic Review · doi:10.1257/0002828053828581 · Cited by 1,474
Cited by
International Channels of Transmission of Monetary Policy and the Mundellian Trilemma
Rey, H. (2016) · IMF Economic Review · doi:10.1057/imfer.2016.4 · Cited by 478
A New Test of Risk Factor Relevance
CHINCO, A., HARTZMARK, S. M., & SUSSMAN, A. B. (2022) · The Journal of Finance · doi:10.1111/jofi.13135 · Cited by 75
A Global Version of Samuelson's Dictum
Xiao, Y., Yan, H., & Zhang, J. (2022) · American Economic Review: Insights · doi:10.1257/aeri.20210186 · Cited by 8
Metadata
- Authors
- Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J.
- Venue
- American Economic Journal: Macroeconomics
- Publisher
- American Economic Association
- Published
- 2011-04-01
- Volume
- 3
- Issue
- 2
- Pages
- 75-103
- ISSN
- 1945-7707 (ISSN-L)
- 1945-7715
- OpenAlex
- W2890067203
- Cited by
- 1,083
- References
- 22
- FWCI
- 174.44
- Type
- journal article
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
How to cite
Cite CoChat for the checks on this page, and the paper for its own findings.
- This page
- CoChat. (2026). Citation check: How Sovereign Is Sovereign Credit Risk? https://app.cochat.ai/papers/10.1257/mac.3.2.75
- The paper
- Longstaff, F. A., Pan, J., Pedersen, L. H., & Singleton, K. J. (2011). How Sovereign Is Sovereign Credit Risk? American Economic Journal: Macroeconomics. https://doi.org/10.1257/mac.3.2.75
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
