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Interpreting sovereign spreads. (2007). Wu, Eliza ; Scatigna, Michela ; Remolona, Eli.
In: BIS Quarterly Review.
RePEc:bis:bisqtr:0703e.

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Cited: 35

Citations received by this document

Cites: 26

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Cocites: 50

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  1. Assessing the impact of the COVID-19 crisis on sovereign default risk. (2024). Kanno, Masayasu.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003240.

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  2. Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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  3. A sentiment index to measure sovereign risk using Google data. (2020). Gonzalez-Velasco, Carmen ; Gonzalez-Fernandez, Marcos.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:69:y:2020:i:c:p:406-418.

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  4. Bond Yields, Sovereign Risk and Maturity Structure. (2018). Gonzalez-Velasco, Carmen ; Gonzalez-Fernandez, Marcos.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:4:p:109-:d:172937.

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  5. Household Debt and Business Cycles Worldwide. (2017). Mian, Atif ; Sufi, Amir ; Verner, Emil.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:673.

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  6. The fixed income securities market in the West African Economic and Monetary zone: Are credit spread abnormally low?. (2017). Mbengue, Mohamed Lamine ; Paget-Blanc, Eric.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:41:y:2017:i:c:p:235-238.

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  7. Which countries pay more or less for their long term debt? A CART approach || ¿Qué países pagan más o menos por su deuda a largo plazo? Una aproximación a través de la metodología CART. (2016). Gonzalez-Velasco, Carmen ; Gonzalez-Fernandez, Marcos.
    In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration.
    RePEc:pab:rmcpee:v:21:y:2016:i:1:p:103-116.

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  8. Optimal Debt Policy Under Asymmetric Risk. (2016). Escolano, Julio ; Gaspar, Vitor.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/178.

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  9. The Nexus Between Systemic Risk and Sovereign Crises. (2016). Teply, Petr ; Klinger, Tomas .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:66:y:2016:i:1:p:50-69.

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  10. How do global investors differentiate between sovereign risks? The new normal versus the old. (2016). Remolona, Eli ; Amstad, Marlene ; Shek, Jimmy .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:66:y:2016:i:c:p:32-48.

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  11. Sovereign defaults by currency denomination. (2016). Jeanneret, Alexandre ; Souissi, Slim .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:60:y:2016:i:c:p:197-222.

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  12. How do global investors differentiate between sovereign risks? The new normal versus the old. (2016). Remolona, Eli ; Amstad, Marlene ; Shek, Jimmy .
    In: BIS Working Papers.
    RePEc:bis:biswps:541.

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  13. Household Debt and Business Cycles Worldwide. (2015). Sufi, Amir ; Mian, Atif ; Verner, Emil.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21581.

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  14. Pricing anomaly at the first sight: same borrower in different currencies faces different credit spreads—an explanation by means of a quanto option. (2015). Stockl, Stefan ; Rudolph, David ; Rathgeber, Andreas.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:18:y:2015:i:2:p:107-143.

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  15. Disentangling contagion among sovereign CDS spreads during the European debt crisis. (2015). Perez Quiros, Gabriel ; Broto, Carmen ; Perez-Quiros, Gabriel.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:32:y:2015:i:c:p:165-179.

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  16. Credit default swaps and sovereign debt markets. (2015). Hassan, M. Kabir ; Ngene, Geoffrey M. ; Yu, Jung-Suk.
    In: Economic Systems.
    RePEc:eee:ecosys:v:39:y:2015:i:2:p:240-252.

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  17. Sovereign Spreads in the Eurozone: Is Market Discipline Working?. (2015). Igor, Zuccardi Huertas .
    In: Working Papers.
    RePEc:bdm:wpaper:2015-20.

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  18. The Effects of News Events on Market Contagion: Evidence from the 2007-2009 Financial Crisis. (2014). Chevapatrakul, Thanaset ; Tee, Kai-Hong .
    In: Discussion Papers.
    RePEc:not:notcfc:14/08.

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  19. The effects of news events on market contagion: Evidence from the 2007–2009 financial crisis. (2014). Tee, Kai-Hong ; Chevapatrakul, Thanaset.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:32:y:2014:i:c:p:83-105.

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  20. Default risk and risk averse international investors. (2013). Lizarazo, Sandra.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:89:y:2013:i:2:p:317-330.

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  21. Disentangling contagion among sovereign cds spreads during the european debt crisis. (2013). Perez Quiros, Gabriel ; Broto, Carmen ; Perez-Quiros, Gabriel.
    In: Working Papers.
    RePEc:bde:wpaper:1314.

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  22. The dynamics of sovereign credit default swap and bond markets: empirical evidence from the 2001 to 2007 period. (2012). Vasconcellos, Geraldo ; Bae, Youngsoo ; Aktug, Rahmi Erdem .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:19:y:2012:i:3:p:251-259.

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  23. Rating Government Bonds: Can We Raise Our Grade?. (2012). Joffe, Marc.
    In: Econ Journal Watch.
    RePEc:ejw:journl:v:9:y:2012:i:3:p:350-365.

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  24. Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?. (2012). BORIO, Claudio ; Zhu, Haibin .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:8:y:2012:i:4:p:236-251.

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  25. Boom-bust cycles, imbalances and discipline in Europe. (2012). Molina Sánchez, Luis ; del Río, Pedro ; Alberola, Enrique ; del Rio, Pedro.
    In: Working Papers.
    RePEc:bde:wpaper:1220.

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  26. Credit Default Swaps and Sovereign Debt Markets. (2011). Hassan, M. Kabir ; Ngene, Geoffrey M. ; Suk-Yu, Jung .
    In: NFI Working Papers.
    RePEc:nfi:nfiwps:2011-wp-03.

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  27. Sovereign CDS and Bond Pricing Dynamics in the Euro-area. (2011). Portes, Richard ; Palladini, Giorgia .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17586.

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  28. IMF surveillance and financial markets--A political economy analysis. (2011). Reynaud, Julien ; Fratzscher, Marcel.
    In: European Journal of Political Economy.
    RePEc:eee:poleco:v:27:y:2011:i:3:p:405-422.

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  29. Sovereign CDS and Bond Pricing Dynamics in the Euro-area. (2011). Portes, Richard ; Palladini, Giorgia .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8651.

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  30. Diversifying market and default risk in high grade sovereign bond portfolios. (2011). Kobor, Adam ; Rustaman, Vidhya ; Brennan, Myles .
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-04.

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  31. Deficits, Debts and Defaults - Past, Present and Future. (2011). Sinclair, Peter.
    In: Discussion Papers.
    RePEc:bir:birmec:11-20.

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  32. IMF Surveillance and Financial Markets - A Political Economy Analysis. (2010). Reynaud, Julien ; Fratzscher, Marcel.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3089.

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  33. Who Saw Sovereign Debt Crises Coming?. (2008). Nieto-Parra, Sebastián.
    In: OECD Development Centre Working Papers.
    RePEc:oec:devaaa:274-en.

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  34. The Determinants of Sovereign Bond Spreads: Theory and Facts From Latin America. (2007). Grandes, Martin.
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:44:y:2007:i:130:p:151-181.

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  35. The Relevance of Currency Mismatch Indicators: an Analysis Through Determinants of Emerging Market Spreads. (2007). Prat, Stephanie .
    In: Economie Internationale.
    RePEc:cii:cepiei:2007-3te.

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References

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  11. Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?. (2012). BORIO, Claudio ; Zhu, Haibin .
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  12. Gaining insight into student satisfaction using comprehensible data mining techniques. (2012). Goethals, Frank ; Giangreco, Antonio ; Mola, Lapo ; Dejaeger, Karel ; Baesens, Bart.
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  13. Costly information transmission in continuous time with implications for credit rating announcements. (2012). Wang, Hefei .
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    RePEc:ris:apltrx:0005.

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  43. Ratings-based credit risk modelling: An empirical analysis. (2007). Varotto, Simone ; Perraudin, William ; Nickell, Pamela.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:16:y:2007:i:5:p:434-451.

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  44. Interpreting sovereign spreads. (2007). Wu, Eliza ; Scatigna, Michela ; Remolona, Eli.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:0703e.

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  45. Procyclicality in Basel II: Can we treat the disease without killing the patient?. (2006). Gordy, Michael ; Howells, Bradley.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:15:y:2006:i:3:p:395-417.

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  46. Confidence intervals for probabilities of default. (2006). Schuermann, Til ; Hanson, Samuel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:8:p:2281-2301.

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  47. Sovereign credit ratings: Guilty beyond reasonable doubt?. (2006). Mora, Nada.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:2041-2062.

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  48. Internal ratings systems, implied credit risk and the consistency of banks risk classification policies. (2006). Roszbach, Kasper ; Lindé, Jesper ; Jacobson, Tor ; Linde, Jesper.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:7:p:1899-1926.

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  49. Estimation of rating class transition probabilities with incomplete data. (2006). .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:11:p:3235-3256.

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  50. Credit Spreads und ihre Determinanten in Deutschland. (2004). Seitz, Franz ; Rottmann, Horst.
    In: ifo Schnelldienst.
    RePEc:ces:ifosdt:v:57:y:2004:i:24:p:10-14.

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