Credit default swaps (CDS) have grown to be a multi-trillion-dollar, globally important
market. The academic literature on CDS has developed in parallel with the market practices …

We develop a theory that links the US dollar's valuation in FX markets to the convenience
yield that foreign investors derive from holding US safe assets. We show that this …

The COVID-19 pandemic provides a unique setting in which to evaluate the importance of a
country's fiscal capacity in explaining the relation between economic growth shocks and …

This review revisits the literature on fiscal capacity using modern tools from asset pricing. We
find that properly accounting for aggregate risk substantially reduces fiscal capacity. In this …

The government budget constraint ties the market value of government debt to the expected
present discounted value of fiscal surpluses. We find evidence that US Treasury investors …

This paper proposes a conditional asset pricing model that integrates environmental, social,
and governance (ESG) demand and supply dynamics. Shocks in the demand for …

The shape of the term structure of credit default swap spreads is an informative signal about
the importance of global and domestic risk factors to the time variation of sovereign credit …

Sovereign credit default swap quanto spreads tell us how financial markets view the
interaction between a country's likelihood of default and associated currency devaluations …

We document that governments whose local currency debt provides them with greater
hedging benefits actually borrow more in foreign currency. We introduce two features into a …

Many recent studies investigate the economic effect of the COVID-19 pandemic in multiple
aspects, while whether and how the sovereign credit risk reacts to the shock is still …