Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt

By Jens Hilscher, Yves Nosbusch. 2010

532 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a6777ea3c0da96f36c819492c53a0f6ff86ae914

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Citations in the corpus

Credit Default Swaps: A Survey (2014, background): “[2011] for example, while country-specific fundamental risk factors often seem to dominate at lower frequencies, such as in Hilscher and Nosbusch [2010]. They show that the volatility of the terms of trade is fundamental to explaining annual sovereign bond yield spreads.”
Conditional Euro Area Sovereign Default Risk (2014, unknown): “Finally, the link between sovereign credit risk, country ratings, and macro fundamentals was investigated by, for example, Haugh, Ollivaud, and Turner (2009), Hilscher and Nosbusch (2010), and DeGrauwe and Ji (2012).”
Sovereign bond yield spreads and sustainability: An empirical analysis of OECD countries (2019, background): “debt and the rate offered by the US Treasury on debt of comparable maturity (Hilscher and Nosbusch, 2010).”
Local Currency Sovereign Risk (2013, unknown): “In addition, we include a set of country-specific macroeconomic controls that previous literature (for example, Hilscher and Nosbusch, 2010) has emphasized as potentially important in explaining sovereign spreads.”
Political Risk and International Valuation (2016, unknown): “Edwards, 1984; Hilscher and Nosbusch, 2010) beyond political risk. A number of recent articles show that global and/or U.S. financial conditions are important drivers of variation in sovereign spreads (see Özatay et al., 2009; Gonzalez-Rozada and Levy-Yeyati, 2008; Maier and Vasishtha, 2008; Remolan”
Determinants of sovereign yield spreads in the Eurozone: A Bayesian approach (2012, background): “Examples of papers that employ panel data on developing countries’ secondary market yield spreads are: Baldacci et al. (2008), Dailami et al. (2005), Hilscher and Nosbusch (2010), and Rowland and Torres (2004).”
Sovereign Risk Premia (2011, unknown): “…three-period model to determine the 1Other references on the empirical determinants of sovereign spreads include papers by Edwards (1984), Boehmer and Megginson (1990), Adler and Qi (2003), Favero, Pagano and von Thadden (2010), Bekaert, Harvey and Lundblad (2007), and Hilscher and Nosbusch (2010).”
Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis (2012, unknown): “…studies which investigate emerging sovereign spreads (see McGuire and Schrilvers (2003), Sy (2001), Sy (2003), Hartelius and Kodres (2008) and Hilscher and Nosbrusch (2010)) or the relationship between emerging sovereign CDS premia and underlying bonds (Chan-Lau and Kim (2004), Andritsky and…”