The risk of default in the Eurozone: New analysis of fiscal space, CDS spreads, and market pricing of risk
The risk of default in the Eurozone: New analysis of fiscal space, CDS spreads, and market pricing of risk: Joshua Aizenman, Michael M Hutchison, Yothin Jinjarak, 8 September 2011
Bond markets provide sleepless nights for even the most powerful of political leaders. This column estimates the pricing of sovereign risk for over 60 countries during the last five years. It finds that fiscal space and other macroeconomic factors are important determinants of market prices of sovereign risk. But when looking at the Eurozone crisis, it finds that the market is excessively pessimistic.
Full Article: The risk of default in the Eurozone: New analysis of fiscal space, CDS spreads, and market pricing of risk
Bond markets provide sleepless nights for even the most powerful of political leaders. This column estimates the pricing of sovereign risk for over 60 countries during the last five years. It finds that fiscal space and other macroeconomic factors are important determinants of market prices of sovereign risk. But when looking at the Eurozone crisis, it finds that the market is excessively pessimistic.
Full Article: The risk of default in the Eurozone: New analysis of fiscal space, CDS spreads, and market pricing of risk
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