The Impact of Sovereign Shocks

References

• Acharya V, Drechsler I, Schnabl P (2014) A pyrrhic victory? Bank bailouts and sovereign credit risk. J. Finance 69(6):2689–2739.Crossref, Google Scholar
• Acharya V, Engle R, Richardson M (2012) Capital shortfall: A new approach to ranking and regulating systemic risks. Amer. Econom. Rev. 102(3):59–64.Crossref, Google Scholar
• Adams Z, Füss R, Gropp R (2012) Spillover effects among financial institutions: A state-dependent sensitivity value-at-risk approach. J. Financial Quant. Anal. 49(3):575–598.Crossref, Google Scholar
• Alexandre S, Metzler A (2015) A general importance sampling algorithm for estimating portfolio loss probabilities in linear factor models. Insurance Math. Econom. 64:279–293.Crossref, Google Scholar
• Andersen L, Sidenius J, Basu S (2003) All your hedges in one basket. London Risk Magazine Limited 16(11):67–72.Google Scholar
• Ang A, Longstaff FA (2013) Systemic sovereign credit risk: Lessons from the U.S. and Europe. J. Monetary Econom. 60(5):493–510.Crossref, Google Scholar
• Arce Ó, Mayordomo S, Peña JI (2013) Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis. J. Internat. Money Finance 35:124–145.Crossref, Google Scholar
• Bassamboo A, Juneja S, Zeevi A (2008) Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation. Oper. Res. 56(3):593–606.Link, Google Scholar
• Benzoni L, Collin-Dufresne P, Goldstein RS, Helwege J (2015) Modeling credit contagion via the updating of fragile beliefs. Rev. Financial Stud. 28(7):1960–2008.Crossref, Google Scholar
• Berndt A, Obreja I (2010) Decomposing European CDS returns. Rev. Finance 14(2):189–233.Crossref, Google Scholar
• Bhansali V, Gingrich R, Longstaff FA (2008) Systemic credit risk: What is the market telling us? Financial Analysts J. 64(4):16–24.Crossref, Google Scholar
• Billio M, Getmansky M, Lo AW, Pelizzon L (2012) Econometric measures of connectedness and systemic risk in the finance and insurance sectors. J. Financial Econom. 104(3):535–559.Crossref, Google Scholar
• Black L, Correa R, Huang X, Zhou H (2016) The systemic risk of European banks during the financial and sovereign debt crises. J. Banking Finance 63:107–125.Crossref, Google Scholar
• Bohn H (1998) The behavior of U.S. public debt and deficits. Quart. J. Econom. 113(3):949–963.Crossref, Google Scholar
• Bolton P, Jeanne O (2011) Sovereign default risk and bank fragility in financially integrated economies. IMF Econom. Rev. 59(2):162–194.Crossref, Google Scholar
• Brownlees C, Engle RF (2017) SRISK: A conditional capital shortfall measure of systemic risk. Rev. Financial Stud. 30(1):48–79.Google Scholar
• Brunnermeier M, Crockett A, Goodhart C, Persaud A, Shin HS (2009) The Fundamental Principles of Financial Regulation, Geneva Reports on the World Economy, vol. 11 (International Center for Monetary and Banking Studies, Geneva; Centre for Economic Policy Research, London).Google Scholar
• Chan-Lau JA, Espinosa M, Giesecke K, Solé JA (2009) Assessing the systemic implications of financial linkages. IMF Global Financial Stability Report, International Monetary Fund, Washington, DC.Google Scholar
• De Bandt O, Hartmann P (2002) Systemic risk: A survey. Goodhart C, Illing G, eds. Financial Crisis, Contagion and the Lender of Last Resort: A Book of Readings (Oxford University Press, Oxford, UK), 249–298.Google Scholar
• Donnelly C, Embrechts P (2010) The devil is in the tails: Actuarial mathematics and the subprime mortgage crisis. ASTIN Bull.: J. IAA 40(1):1–33.Crossref, Google Scholar
• Engle R (2002) Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroskedasticity models. J. Bus. Econom. Statist. 20(3):339–350.Crossref, Google Scholar
• Engle R, Jondeau E, Rockinger M (2014) Systemic risk in Europe. Rev. Finance 19(1):145–190.Crossref, Google Scholar
• Favero CA, Giavazzi F (2002) Is the international propagation of financial shocks non-linear? Evidence from the ERM. J. Internat. Econom. 57(1):231–246.Crossref, Google Scholar
• Friedman M, Schwartz AJ (1982) The role of money. Monetary Trends in the United States and United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867–1975 (University of Chicago Press, Chicago), 621–632.Google Scholar
• Gauthier C, Lehar A, Souissi M (2012) Macroprudential capital requirements and systemic risk. J. Financial Intermediation 21(4):594–618.Crossref, Google Scholar
• Gennaioli N, Martin A, Rossi S (2014) Sovereign default, domestic banks, and financial institutions. J. Finance 69(2):819–866.Crossref, Google Scholar
• Ghosh AR, Kim JI, Mendoza EG, Ostry JD, Qureshi MS (2013) Fiscal fatigue, fiscal space and debt sustainability in advanced economies. Econom. J. 123(566):F4–F30.Google Scholar
• Glasserman P, Li J (2005) Importance sampling for portfolio credit risk. Management Sci. 51(11):1643–1656.Link, Google Scholar
• Gray D, Merton R, Bodie Z (2008) A contingent claims analysis of the subprime credit crisis of 2007–2008. Credit 2008 Conf. Liquidity Credit Risk, Venice, Italy, 22–23.Google Scholar
• Gray DF, Jobst AA (2011) Modelling systemic financial sector and sovereign risk. Sveriges Riksbank Econom. Rev. 2:68–106.Google Scholar
• Huang X, Zhou H, Zhu H (2009) A framework for assessing the systemic risk of major financial institutions. J. Banking Finance 33(11):2036–2049.Crossref, Google Scholar
• Kalotychou E, Remolona EM, Wu E (2014) What makes systemic risk systemic? Contagion and spillovers in the international sovereign debt market. Working Paper 07/2014, Hong Kong Institute for Monetary Research, Hong Kong.Google Scholar
• Kelly BT, Manzo G, Palhares D (2016) Credit-implied volatility. Chicago Booth Research Paper 17-12, Chicago.Google Scholar
• Kose A, Kurlat S, Ohnsorge F, Sugawara N (2017) A cross-country database of fiscal space. Policy Research Working Paper 8157, World Bank, Washington, DC.Google Scholar
• Kritzman M, Li Y, Page S, Rigobon R (2011) Principal components as a measure of systemic risk. J. Portfolio Management 37(4):112–126.Crossref, Google Scholar
• Lehar A (2005) Measuring systemic risk: A risk management approach. J. Banking Finance 29(10):2577–2603.Crossref, Google Scholar
• Longstaff FA, Rajan A (2008) An empirical analysis of the pricing of collateralized debt obligations. J. Finance 63(2):529–563.Crossref, Google Scholar
• Longstaff FA, Pan J, Pedersen LH, Singleton KJ (2011) How sovereign is sovereign credit risk? Amer. Econom. J.: Macroeconom. 3(2):75–103.Crossref, Google Scholar
• Lutkepohl H (2005) New introduction to multiple time series analysis. Econometric Theory 22(5):961–967.Google Scholar
• Manzo G (2013) Political uncertainty, credit risk premium and default risk. Working paper, University of Chicago Booth School of Business, Chicago.Google Scholar
• Manzo G, Veronesi P (2016) Sovereign credit risk. Veronesi P, ed. Handbook of Fixed-Income Securities (John Wiley & Sons, Hoboken, NJ), 561–586.Crossref, Google Scholar
• Mendoza EG, Ostry JD (2008) International evidence on fiscal solvency: Is fiscal policy responsible? J. Monetary Econom. 55(6):1081–1093.Crossref, Google Scholar
• Mertens K, Ravn MO (2010) Measuring the impact of fiscal policy in the face of anticipation: A structural VAR approach. Econom. J. 120(544):393–413.Google Scholar
• Merton RC (1974) On the pricing of corporate debt: The risk structure of interest rates. J. Finance 29(2):449–470.Google Scholar
• Merton RC, Billio M, Getmansky M, Gray D, Lo AW, Pelizzon L (2013) On a new approach for analyzing and managing macrofinancial risks (corrected). Financial Analysts J. 69(2):22–33.Crossref, Google Scholar
• Ostry JD, Ghosh AR, Kim JI, Qureshi MS (2010) Fiscal space. IMF staff position note, International Monetary Fund, Research Department, Washington, DC.Google Scholar
• Pan J, Singleton KJ (2008) Default and recovery implicit in the term structure of sovereign CDS spreads. J. Finance 63(5):2345–2384.Crossref, Google Scholar
• Paternoster R, Brame R, Mazerolle P, Piquero A (1998) Using the correct statistical test for the equality of regression coefficients. Criminology 36(4):859–866.Crossref, Google Scholar
• Remolona EM, Scatigna M, Wu E (2008) The dynamic pricing of sovereign risk in emerging markets: Fundamentals and risk aversion. J. Fixed Income 17(4):57–71.Google Scholar
• Rigobon R (2003) Identification through heteroskedasticity. Rev. Econom. Statist. 85(4):777–792.Crossref, Google Scholar
• Rigobon R, Sack B (2004) The impact of monetary policy on asset prices. J. Monetary Econom. 51(8):1553–1575.Crossref, Google Scholar
• Rigobon R, Sack B (2005) The effects of war risk on us financial markets. J. Banking Finance 29(7):1769–1789.Crossref, Google Scholar
• Romer CD, Romer DH (1989) Does monetary policy matter? A new test in the spirit of Friedman and Schwartz. NBER Macroeconom. Annual 4:121–184.Crossref, Google Scholar
• Sgherri S, Zoli E (2011) Euro area sovereign risk during the crisis. Sovereign Debt: From Safety to Default, The Robert W. Kolb Series in Finance (John Wiley & Sons, Hoboken, NJ), 415–424.Google Scholar
• Stefano D, McNeil AJ (2005) The t copula and related copulas. Internat. Statist. Rev. 73(1):111–129.Google Scholar
• Tobias A, Brunnermeier MK (2016) CoVaR. Amer. Econom. Rev. 106(7):1705–1741.Crossref, Google Scholar
• Wilson T, Wiebe J, Hoffmann P (2005) Recognizing contextual polarity in phrase-level sentiment analysis. Proc. Conf. Human Language Tech. Empirical Methods Natl. Language Processing (Association for Computational Linguistics, Stroudsburg, PA), 347–354.Google Scholar
• Wilson T, Wiebe J, Hoffmann P (2009) Recognizing contextual polarity: An exploration of features for phrase-level sentiment analysis. Comput. Linguistics 35(3):399–433.Crossref, Google Scholar
• Wong E, Fong T, Li KF, Choi H (2011) Loan-to-value ratio as a macro-prudential tool: Hong Kong’s experience and cross-country evidence. Technical report, Hong Kong Monetary Authority, Hong Kong.Google Scholar
• Zhang FX (2003) What did the credit market expect of Argentina default? Evidence from default swap data. Finance and Economics Discussion Series Working Paper No. 2003–25, Federal Reserve Board, Washington, DC.Google Scholar