Systemic Sovereign Credit Risk: Lessons from the U.s. and Europe
نویسندگان
چکیده
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. Current draft: April 2011. Andrew Ang is the Ann F. Kaplan Professor of Business, Columbia Business School, 3022 Broadway 413 Uris, New York NY 10025, email: [email protected]. Francis A. Longstaff is the Allstate Professor of Insurance and Finance, UCLA Anderson School, 110 Westwood Plaza, Los Angeles CA 90095-1481, email: [email protected]. We are grateful for helpful discussions with Navneet Arora, Mike Rierson, Eric Neis, Joel Silva, and Marcus Tom. We are also grateful for the comments of seminar and conference participants at Blackrock, the Milton Friedman Institute, and the Chicago Federal Reserve Bank. We acknowledge the capable research assistance of Jiasun Li. All errors are our responsibility.
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Comment on “Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe” by Ang and Longstaff∗
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تاریخ انتشار 2011