214
Views
0
CrossRef citations to date
0
Altmetric
Original Articles

Sovereign risk and its changing effects on bond duration during financial crisis

, &

References

  • Acharya, V. V. and Carpenter, J. N. (2002) Corporate bond valuation and hedging with stochastic interest rates and endogenous bankruptcy, Review of Financial Studies, 15, 1355–83. doi:10.1093/rfs/15.5.1355
  • Bailey, W. and Chung, P. (1995) Exchange rate fluctuations, political risk, and stock returns: some evidence from an emerging market, The Journal of Financial and Quantitative Analysis, 30, 541–61. doi:10.2307/2331276
  • Baker, H. K. and Mansi, S. A. (2002) Assessing credit rating agencies by bond issuers and institutional investors, Journal of Business Finance and Accounting, 29, 1367–98. doi:10.1111/1468-5957.00474
  • Basel Committee on Banking Supervision. (2000) Credit ratings and complementary sources of credit quality information, BCBS Working Papers No. 3, Bank for International Settlements, Basel.
  • Beck, R. (2001) Do country fundamentals explain emerging market bond spreads?, CFS Working Paper No. 2001/02. Available at http://ssrn.com/abstract=917126(accessed 27 May 2014).
  • Caceres, C., Guzzo, V. and Basurto, M. S. (2010) Sovereign spreads: global risk aversion, contagion or fundamentals?, International Monetary Fund Working Paper No. 10/120.
  • Diaz Weigel, D. and Gemmill, G. (2006) What drives credit risk in emerging markets? The roles of country fundamentals and market co-movements, Journal of International Money and Finance, 25, 476–502. doi:10.1016/j.jimonfin.2006.01.006
  • Dieckmann, S. and Plank, T. (2011) Default risk of advanced economies: an empirical analysis of credit default swaps during the financial crisis, Review of Finance, 15, 1–32.
  • Ferrucci, G. (2003) Empirical determinants of emerging market economies’ sovereign bond spreads. Bank of England Working Paper No. 205. Available at http://ssrn.com/abstract=597422 (accessed 29 May 2014).
  • Greatrex, C. A. and Rengifo, E. (2012) Government intervention and the CDS market: a look at the market’s response to policy announcement during the 2007-2009 financial crisis, Journal of Applied Finance, 22, 44–56.
  • Hull, J., Predescu, M. and White, A. (2004) The relationship between credit default swap spreads, bond yields, and credit rating announcements, Journal of Banking and Finance, 28, 2789–811. doi:10.1016/j.jbankfin.2004.06.010
  • Ismailescu, I. and Phillips, B. (2013) Credit default swaps and the market for sovereign debt. Available at http://ssrn.com/abstract=1785376 (accessed 27 May 2014).
  • Loffler G. (2013) Can rating agencies look through the cycle?, Review of Quantitative Finance and Accounting, 40, 623–46. doi:10.1007/s11156-012-0289-9
  • Longstaff, F. A., Pan, J., Pedersen, L. H. et al. (2011) How sovereign is sovereign credit risk?, American Economic Journal: Macroeconomics, American Economic Association, 3, 75–103.
  • Norden, L. and Weber, M. (2004) Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements, Journal of Banking and Finance, 28, 2813–43. doi:10.1016/j.jbankfin.2004.06.011
  • Sgherri, S. and Zoli, E. (2009) Euro area sovereign risk during the crisis. International Monetary Fund Working Paper No. WP/09/222.
  • Siklos, P. (2008) Determinants of emerging market spreads: domestic, global factors, and volatility, HKIMR Working Paper No. 18/2008.
  • Xie, Y. A., Liu, S., Wu, C. et al. (2009) The effects of default and call risk on bond duration, Journal of Banking and Finance, 33, 1700–8. doi:10.1016/j.jbankfin.2009.04.004

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.