Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff
Is the source of systemic sovereign credit risk the economic linkages among sovereigns that expose them to the common macroeconomic shocks, or is it the financial linkages that spread and amplify shocks originated from one sovereign to the others? This question is of tremendous importance for econom...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Elsevier
2017
|
| Online Access: | http://hdl.handle.net/1721.1/111153 https://orcid.org/0000-0001-9605-641X |
| _version_ | 1811077600808796160 |
|---|---|
| author | Chen, Hui |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Chen, Hui |
| author_sort | Chen, Hui |
| collection | MIT |
| description | Is the source of systemic sovereign credit risk the economic linkages among sovereigns that expose them to the common macroeconomic shocks, or is it the financial linkages that spread and amplify shocks originated from one sovereign to the others? This question is of tremendous importance for economists and policy makers. However, as Hansen (2013) points out, while we have a long list of empirical measures of systemic risk (for example, see the survey of Bisias et al., 2012), we still face significant challenges in identifying, measuring, and even defining systemic risk, which present a major hurdle for testing alternative theories of systemic risk. |
| first_indexed | 2024-09-23T10:45:36Z |
| format | Article |
| id | mit-1721.1/111153 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T10:45:36Z |
| publishDate | 2017 |
| publisher | Elsevier |
| record_format | dspace |
| spelling | mit-1721.1/1111532022-09-27T14:47:26Z Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff Chen, Hui Sloan School of Management Chen, Hui Is the source of systemic sovereign credit risk the economic linkages among sovereigns that expose them to the common macroeconomic shocks, or is it the financial linkages that spread and amplify shocks originated from one sovereign to the others? This question is of tremendous importance for economists and policy makers. However, as Hansen (2013) points out, while we have a long list of empirical measures of systemic risk (for example, see the survey of Bisias et al., 2012), we still face significant challenges in identifying, measuring, and even defining systemic risk, which present a major hurdle for testing alternative theories of systemic risk. 2017-09-07T17:57:08Z 2017-09-07T17:57:08Z 2013-06 2013-04 Article http://purl.org/eprint/type/JournalArticle 0304-3932 http://hdl.handle.net/1721.1/111153 Chen, Hui. “Comment on ‘Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe’ by Ang and Longstaff.” Journal of Monetary Economics 60, 5 (July 2013): 511–516 © 2013 Elsevier B.V. https://orcid.org/0000-0001-9605-641X en_US http://dx.doi.org/10.1016/j.jmoneco.2013.04.007 Journal of Monetary Economics Creative Commons Attribution-NonCommercial-NoDerivs License http://creativecommons.org/licenses/by-nc-nd/4.0/ application/pdf Elsevier MIT Web Domain |
| spellingShingle | Chen, Hui Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff |
| title | Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff |
| title_full | Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff |
| title_fullStr | Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff |
| title_full_unstemmed | Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff |
| title_short | Comment on “Systemic sovereign credit risk: Lessons from the U.S. and Europe” by Ang and Longstaff |
| title_sort | comment on systemic sovereign credit risk lessons from the u s and europe by ang and longstaff |
| url | http://hdl.handle.net/1721.1/111153 https://orcid.org/0000-0001-9605-641X |
| work_keys_str_mv | AT chenhui commentonsystemicsovereigncreditrisklessonsfromtheusandeuropebyangandlongstaff |