Determinants of market-assessed sovereign risk: Economic fundamentals or market risk appetite?

By Inmee Baek, Arindam Bandopadhyaya, Chan Du. 2005

174 citations recorded by the source corpus.

Subfields: Finance

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The Greek financial crisis: growing imbalances and sovereign spreads (2012, unknown): “Baek et al. (2005) construct a risk appetite index for developed and emerging markets based on the rank correlation coefficient between market returns and volatility. A positive correlation coefficient indicates risk-seeking behaviour whereas a negative one suggests risk-avoiding behaviour. Greater ”
The Dynamic Pricing of Sovereign Risk in Emerging Markets: Fundamentals and Risk Aversion (2008, unknown): “The concept of risk aversion has also been linked with emerging market debt spreads by McGuire and Schrijvers (2003), Baek, Bandopadhyaya and Du (2005), Garcia-Herrero and Ortiz (2006) and references therein.”
Does risk aversion drive financial crises? Testing the predictive power of empirical indicators (2008, background): “Kumar and Persaud (2002) applied this approach to ex post excess returns on foreign exchange markets, Baek et al. (2005) on developed and emerging stock markets. Several financial institutions and private banks, such as the IMF and J.P. Morgan, subsequently constructed their own GRAI. Other like Cré”