Abstract

http://ssrn.com/abstract=1815502
 
 

Citations (19)



 


 



Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe


Andrew Ang


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Francis A. Longstaff


University of California, Los Angeles (UCLA) - Finance Area; National Bureau of Economic Research (NBER)

April 19, 2011


Abstract:     
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable heterogeneity across U.S. and European issuers in their sensitivity to systemic risk. U.S. and Euro systemic shocks are highly correlated, but there is much less systemic risk among U.S. sovereigns than among European sovereigns. We also find that U.S. and European systemic sovereign risk is strongly related to financial market variables. These results provide strong support for the view that systemic sovereign risk has its roots in financial markets rather than in macroeconomic fundamentals.

Number of Pages in PDF File: 45

Keywords: Sovereign Default Risk, CDS, Systemic Risk, Contagion, Euro, Uni Bonds

JEL Classification: E44, F21, F34, F36, G12, G13, G15, G18

working papers series





Download This Paper

Date posted: April 21, 2011  

Suggested Citation

Ang, Andrew and Longstaff, Francis A., Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe (April 19, 2011). Available at SSRN: http://ssrn.com/abstract=1815502 or http://dx.doi.org/10.2139/ssrn.1815502

Contact Information

Andrew Ang (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Francis A. Longstaff
University of California, Los Angeles (UCLA) - Finance Area ( email )
Los Angeles, CA 90095-1481
United States
310-825-2218 (Phone)
310-206-5455 (Fax)
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,075
Downloads: 269
Download Rank: 24,971
Citations:  19

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo5 in 0.344 seconds