How Sovereign is Sovereign Credit Risk

摘要: We study the nature of sovereign credit risk using an extensive sample CDS spreads for 26 developed and emerging-market countries. Sovereign are surprisingly highly correlated, with just three principal components accounting more than 50 percent their variation. generally related to U.S. stock high-yield bond markets, global premia, capital flows they own local economic measures. find that excess returns from investing in largely compensation bearing risk, there is little or no country-specific premium. A significant amount variation can be forecast equity, volatility, market premia.