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Cited by 1,083

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 access
Longstaff, Francis A, Pan, Jun, Pedersen, Lasse H, Singleton, Kenneth J·2011·American Economic Journal: Macroeconomics
DOI 10.1257/mac.3.2.75
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Abstract

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)

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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
DOI
10.1257/mac.3.2.75
OpenAlex
W2890067203
Cited by
1,083
References
22
FWCI
174.44
Type
journal article
Language
en
Open access
green

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