MARC Record from Library of Congress

LEADER: 01918cam a22002777a 4500
001 2008612401
003 DLC
005 20090220085703.0
007 cr |||||||||||
008 080605s2007 mau sb 000 0 eng
010 $a 2008612401
040 $aDLC$cDLC$dDLC
050 00 $aHB1
245 00 $aHow sovereign is sovereign credit risk?$h[electronic resource] /$cFrancis A. Longstaff ... [et al.].
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2007.
490 1 $aNBER working paper series ;$vworking paper 13658
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/5/2008.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"We study the nature of sovereign credit risk using an extensive sample of CDS spreads for 26 developed and emerging-market countries. Sovereign credit spreads are surprisingly highly correlated, with just three principal components accounting for more than 50 percent of their variation. Sovereign credit spreads are generally more related to the U.S. stock and high-yield bond markets, global risk premia, and capital flows than they are to their own local economic measures. We find that the excess returns from investing in sovereign credit are largely compensation for bearing global risk, and that there is little or no country-specific credit risk premium. A significant amount of the variation in sovereign credit returns can be forecast using U.S. equity, volatility, and bond market risk premia"--National Bureau of Economic Research web site.
700 1 $aLongstaff, Francis A.,$d1956-
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 13658.
856 40 $uhttp://papers.nber.org/papers/w13658