The market price of sovereign risk is higher than its counterpart and time-varying, increasing in times of high asset volatility. A two-factor model accounts for the cross-section of average bond excess returns in emerging markets.
Titolo: | The Market Price of Sovereign Risk |
Autori: | |
Data di pubblicazione: | 2015 |
Abstract: | The market price of sovereign risk is higher than its counterpart and time-varying, increasing in times of high asset volatility. A two-factor model accounts for the cross-section of average bond excess returns in emerging markets. |
Handle: | http://hdl.handle.net/11385/144398 |
Appare nelle tipologie: | 05.1 - Working Paper |
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