This paper evaluates the capacity of emerging market economies (EMEs) to moderate the
domestic impact of global financial and monetary forces through their own monetary …

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 …

We study the nature of systemic sovereign credit risk using CDS spreads for the US
Treasury, individual US states, and major Eurozone countries. Using a multifactor affine …

We introduce a new, market-based and forward looking measure of political risk derived
from the yield spread between a country's US dollar debt and an equivalent US Treasury …

This paper investigates the effects of macroeconomic fundamentals on emerging market
sovereign credit spreads. We find that the volatility of terms of trade in particular has a …

We study the optimal accumulation of international reserves in a quantitative model of
sovereign default with long-term debt and a risk-free asset. Keeping higher levels of …

This article reviews recent economic and legal literature on sovereign debt in light of the
COVID-19 shock. Most of the core theoretical contributions across the two disciplines hinge …

We provide a pricing theory for emerging asset classes, like emerging markets, that are not
yet mature enough to be attractive to the general public. We show how leverage cycles can …

We analyze determinants of sovereign bond yields in 22 advanced economies over the
1980–2010 period using panel cointegration techniques. The application of the …

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin
American countries and verify the existence of contagion effect over these markets during …