Global factors and the pricing of sovereign risk
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2020
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| Online Access: | https://hdl.handle.net/1721.1/124583 |
| _version_ | 1811096434439618560 |
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| author | Elias, Leonardo Ariel. |
| author2 | Adrien Verdelhan. |
| author_facet | Adrien Verdelhan. Elias, Leonardo Ariel. |
| author_sort | Elias, Leonardo Ariel. |
| collection | MIT |
| description | Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019 |
| first_indexed | 2024-09-23T16:43:36Z |
| format | Thesis |
| id | mit-1721.1/124583 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T16:43:36Z |
| publishDate | 2020 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/1245832020-04-14T03:01:16Z Global factors and the pricing of sovereign risk Elias, Leonardo Ariel. Adrien Verdelhan. Sloan School of Management. Sloan School of Management Sloan School of Management. Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019 Cataloged from PDF version of thesis. Includes bibliographical references (pages 21-22). I study the effects of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of sovereign distress to the real economy by studying the cross-sectional response of security prices (corporate CDS spreads and stock returns) to global shocks. I find that positive macroeconomic surprises in the US systematically reduce sovereign spreads consistent with the view that global investors price sovereign risk. However, I find that both the size and the sign of the effect depend on the business cycle in the US. During contractionary periods the positive effect of news is greatly reduced, often erased, and sometimes reversed. I also find evidence of asymmetric and non-linear effects. Moreover, I find that country characteristics such as its credit rating, its debt-to-GDP ratio, and measures of economic integration play a crucial role in determining the country's response to US shocks. by Leonardo Ariel Elias. S.M. in Management Research S.M.inManagementResearch Massachusetts Institute of Technology, Sloan School of Management 2020-04-13T18:27:48Z 2020-04-13T18:27:48Z 2019 2019 Thesis https://hdl.handle.net/1721.1/124583 1149013770 eng MIT theses are protected by copyright. They may be viewed, downloaded, or printed from this source but further reproduction or distribution in any format is prohibited without written permission. http://dspace.mit.edu/handle/1721.1/7582 45 pages ; application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Elias, Leonardo Ariel. Global factors and the pricing of sovereign risk |
| title | Global factors and the pricing of sovereign risk |
| title_full | Global factors and the pricing of sovereign risk |
| title_fullStr | Global factors and the pricing of sovereign risk |
| title_full_unstemmed | Global factors and the pricing of sovereign risk |
| title_short | Global factors and the pricing of sovereign risk |
| title_sort | global factors and the pricing of sovereign risk |
| topic | Sloan School of Management. |
| url | https://hdl.handle.net/1721.1/124583 |
| work_keys_str_mv | AT eliasleonardoariel globalfactorsandthepricingofsovereignrisk |