Current Conditions and Outlook for Corporate and Sovereign Credit Markets

2014 ◽  
Vol 31 (1) ◽  
pp. 1-11
Author(s):  
Edward I. Altman
Keyword(s):  
Credit Markets ◽  
Sovereign Credit

Contagion and interdependence in Eurozone bank and sovereign credit markets

2018 ◽  
Vol 23 (4) ◽  
pp. 655-674 ◽  
Author(s):  
Theodoros Bratis ◽  
Nikiforos T. Laopodis ◽  
Georgios P. Kouretas
Keyword(s):  
Credit Markets ◽  
Sovereign Credit

Regaining Access to Capital Markets: An Overview of Issues and Strategies

2018 ◽  
Keyword(s):  
Empirical Evidence ◽  
Capital Markets ◽  
Sovereign Debt ◽  
Market Access ◽  
Credit Markets ◽  
Management Strategies ◽  
Debt Management ◽  
Sovereign Credit ◽  
Financial Conditions ◽  
Long Run

This article discusses issues related to regaining market access for countries that have undergone sovereign debt restructurings. Defaults and restructurings may have adverse consequences for the debtor government’s access to capital post-crisis, leading to exclusion from capital markets and higher interest premia. However, the empirical evidence on this matter is inconclusive. While some earlier contributions conclude that default premia in sovereign credit markets are negligible, particularly in the medium and long run, more recent studies find that debt restructurings can have a substantial and longer-lasting impact on post-crisis market access conditions, with preemptive restructurings being associated with shorter periods of market exclusion. Strategies for regaining market access should be designed carefully, facilitated by enabling domestic macroeconomic and debt management strategies, and implemented when international financial conditions are favorable.

Price discovery in euro area sovereign credit markets and the ban on naked CDS

2018 ◽  
Vol 96 ◽  
pp. 106-125 ◽  
Author(s):  
Jacob Gyntelberg ◽  
Peter Hördahl ◽  
Kristyna Ters ◽  
Jörg Urban
Keyword(s):  
Euro Area ◽  
Price Discovery ◽  
Credit Markets ◽  
Sovereign Credit

Time‐Varying Price Discovery in Sovereign Credit Markets

2019 ◽  
Author(s):  
Massimo Guidolin ◽  
Manuela Pedio ◽  
Alessandra Tosi
Keyword(s):  
Price Discovery ◽  
Credit Markets ◽  
Time Varying ◽  
Sovereign Credit

scholarly journals On the compensation for illiquidity in sovereign credit markets

2015 ◽  
Vol 30 ◽  
pp. 83-100 ◽  
Author(s):  
Juan Angel Lafuente ◽  
Pedro Serrano
Keyword(s):  
Credit Markets ◽  
Sovereign Credit

scholarly journals The Physical Consequences of Fiscal Flexibility: Sovereign Credit and Physical Integrity Rights

2016 ◽  
Vol 47 (4) ◽  
pp. 783-807 ◽  
Author(s):  
K. Chad Clay ◽  
Matthew R. Digiuseppe
Keyword(s):  
Credit Markets ◽  
Private Goods ◽  
Fiscal Constraints ◽  
Sovereign Credit ◽  
Physical Integrity ◽  
State Agents ◽  
Physical Consequences ◽  
Empirical Analyses

Leaders are assumed to face fiscal constraints on their ability to remain in office by competitively distributing public and/or private goods. However, many leaders can relax this constraint by borrowing on sovereign credit markets. This article argues that states with the fiscal flexibility offered by favorable credit terms have the resources necessary to (1) respond to citizen demands with policies other than widespread repression and (2) avoid agency loss that may result in unauthorized repression by state agents. Empirical analyses indicate that creditworthy states have greater respect for physical integrity rights and are less likely to suffer diminished respect for those rights when facing violent dissent or negative shocks to government revenues.

Time-varying price discovery in sovereign credit markets

2019 ◽  
pp. 101388
Author(s):  
Massimo Guidolin ◽  
Manuela Pedio ◽  
Alessandra Tosi
Keyword(s):  
Price Discovery ◽  
Credit Markets ◽  
Time Varying ◽  
Sovereign Credit

scholarly journals Spillovers across European sovereign credit markets and role of surprise and uncertainty

2019 ◽  
Vol 52 (8) ◽  
pp. 851-865
Author(s):  
Stelios Bekiros ◽  
Syed Jawad Hussain Shahzad ◽  
Rania Jammazi ◽  
Chaker Aloui
Keyword(s):  
Credit Markets ◽  
Sovereign Credit

scholarly journals International risk spillover in sovereign credit markets: an empirical analysis

2019 ◽  
Vol 45 (8) ◽  
pp. 1020-1040 ◽  
Author(s):  
Saker Sabkha ◽  
Christian de Peretti ◽  
Dorra Mezzez Hmaied
Keyword(s):  
Credit Risk ◽  
Financial Stability ◽  
Credit Markets ◽  
Spillover Effects ◽  
Time Varying ◽  
Data Set ◽  
Policy Makers ◽  
Content Type ◽  
Sovereign Credit ◽  
Regulatory Policies

Purpose The purpose of this paper is to study the volatility spillover among 33 worldwide sovereign Credit Default Swap (CDS) markets and their underlying bond markets. Design/methodology/approach In contrast to prior studies, the authors incorporate heteroscedasticity, asymmetric leverage effects and long-memory features of sovereign credit spreads simultaneously through a bivariate FIEGARCH model and a Bayesian cointegrated vector autoregressive model. Findings Similar to the literature, the findings confirm that strong evidence of credit risk spillover between credit markets is accentuated during two recent crisis periods. However, the country-by-country analysis indicates that countries exhibit different sensitivity levels and divergent reactions to financial shocks. Further, the authors show that the bidirectional interrelationship evolves over time and across countries emphasizing the necessity of time-varying national regulatory policies and trading positions. Originality/value Based on a large data set that covers the recent two financial crises and using complex methods, the work focuses on sovereign tensions that have repercussions on banks’ solvency and refinancing conditions. Yet, the study is a hot topic since that during crisis periods in the financial markets, direct and indirect interconnections increase between sovereign risk and banking risk. Using new econometric approaches, the results show that each country exhibits a different behavior toward the credit risk which is relevant to both portfolio managers and policy makers. The time-varying spillover effects detected between markets are an accurate indicator of financial stability, allowing policy makers to put in place personalized economic policies. On the other hand, markets’ participants could take advantages of the results by adjusting their trading and hedging positions on the dynamic co-movements. The findings reveal, as well, that the sovereign crisis has more weakened the global financial and banking system than the subprime crisis. The authors previously tackled the cross-country contagion phenomenon in the CDS markets, and this manuscript builds on the prior study to enhance the obtained results.

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