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.
The Market Price of Sovereign Risk / Borri, Nicola; Adrien, Verdelhan. - (2015).
The Market Price of Sovereign Risk
BORRI, NICOLA;
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.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
