Multidimensional Assessment of Economies by the Level of Sovereign Risk Premium

2020 ◽  
Vol 2020 (2) ◽  
pp. 3-27
Author(s):  
Sergey Drobyshevsky ◽  
Pavel Trunin ◽  
Lyudmila Gadiy ◽  
Mariya Chembulatova
Keyword(s):  
Monetary Policy ◽  
Risk Premium ◽  
International Market ◽  
Developed Countries ◽  
Credit Default Swaps ◽  
Sovereign Risk ◽  
Political Risks ◽  
Credit Default ◽  
Monetary Authorities

The analysis of the international market for credit default swaps (CDS) shows that the interdependence of sovereign CDS spreads is increasing and the market remains segmented. However, the reduction in the variation of sovereign CDS spreads means increased competition for capital and should be taken into account by monetary authorities of developed countries when they tighten monetary policy. The article shows a significant role of political risks in determining the level of sovereign risk.

scholarly journals Determinants of credit default swaps implied ratings during the crisis: was sovereign risk mispriced?

2018 ◽  
Vol 15 (3) ◽  
pp. 1-14
Author(s):  
Maria Alberta Oliveira ◽  
Carlos Santos
Keyword(s):  
Risk Premium ◽  
Probit Model ◽  
Credit Default Swaps ◽  
Matching Theory ◽  
Model Specification ◽  
Sovereign Risk ◽  
Global Risk ◽  
Varying Coefficients ◽  
Credit Default ◽  
The Impact

This paper addresses the question of whether sovereign risk pricing was related to macroeconomic fundamentals, between 2007 and 2015, in a sample of OECD countries. The authors argue that the conflicting evidence in the literature is due to poor methodology options. The researchers innovate by modelling sovereign credit default swaps implied ratings as our sovereign risk proxy, instead of spreads, avoiding common pitfalls. Furthermore, the authors improve the variable selection, model specification and the econometric procedures used. A panel ordered probit model is chosen, assuring robust inference. The authors relax the parallel lines assumption, allowing for rating-varying coefficients of explanatory variables. The result is the first congruent model of sovereign risk during the years of the financial crisis and of the Euro Area crisis. Fiscal space variables, economic activity indicators, variables pertaining to external imbalances, and contagion proxies are relevant, with effects matching theory priors. The scientists clarify conundrums in the previous literature, posed by lack of significance of some macro fundamentals and by puzzling signs of some estimated coefficients. Moreover, this is the first paper to estimate not only the global risk premium, but also the impact of changing risk aversion. The authors find no support for claims of sovereign risk mispricing during the sample period. The results allow relevant policy conclusions, namely concerning the validity of different fiscal consolidation paths in financially distressed countries.

Becoming the World’s Biggest Market

2018 ◽  
Author(s):  
Irene Spagna
Keyword(s):  
Global Economy ◽  
Global Financial Crisis ◽  
Credit Default Swaps ◽  
Deregulated Markets ◽  
Otc Derivatives ◽  
Regulatory Uncertainty ◽  
Credit Default ◽  
Basic Characteristics ◽  
The Global Financial Crisis

This chapter analyzes the growth of OTC derivatives before the global financial crisis of 2008 and the role of credit default swaps, in particular, in the near collapse of the global economy. It begins by exploring the basic characteristics of derivatives used as risk management instruments by investors to hedge against or exploit the volatility of asset prices. The analysis further reveals that the pre-crisis period was characterized by a broad-based consensus favoring deregulated markets and globally designed private rules. While not always unanimously supported, permissive public regulatory choices were often encouraged by interest group lobbying, the market-friendly views of many domestic authorities, and concerns about regulatory uncertainty and international competitiveness.

scholarly journals Intellectual property and agricultural trade: Producer perceptions of tea and coffee as potential geographical indications

2018 ◽  
Vol 3 (1) ◽  
pp. 586-595
Author(s):  
Fredah Wangui Maina ◽  
John Mburu ◽  
Chris Ackello-Ogutu ◽  
Henrik Egelyng
Keyword(s):  
Intellectual Property ◽  
Value Chain ◽  
Market Access ◽  
International Market ◽  
Developed Countries ◽  
Agricultural Trade ◽  
County Government ◽  
Geographical Indications ◽  
Production Area

Abstract Kenya tea and coffee are major foreign exchange earners and have high reputation among consumers in the international market. Faced by declining prices and competition from other sub-sectors, production area under these commodities has been declining. Use of intellectual property (IP) rights to protect and market agricultural commodities has been on the increase. Geographical indications as IP have been successfully implemented in developed countries and increasingly in developing countries. The study assesses producers’ awareness and perceptions of territorial-based qualities and the influence on product profits from the two export beverage crops, tea and coffee. Factor analysis was conducted on Likert scale perception questions administered to producers of coffee and tea from Muranga and Kirinyaga, respectively, in the Central region of Kenya. Producers of the two products were aware of the uniqueness of their products and their geographical source. Only perceptions related to market access in coffee and tea, and policies and rules as well as role of county government in coffee positively influenced income. Rather than have GI as a certification trademark, a prescriptive sui generis law would provide the required streamlining needed for collective participation of various actors along the value chain of potential GI products.

Sign in / Sign up

Export Citation Format

Share Document