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- W4285678651 abstract "• Sovereign default insurance quantities are explained by country-specific factors. • Low commonality in quantities contrasts with high commonality in prices. • We provide a framework where demand and supply shift due to global and local risks. • Only opposite reactions of demand/supply to global shocks can explain the evidence. • Our framework helps explain why prices comove strongly with global risks. Price fluctuations of sovereign default insurance are dominated by common risks. In contrast, fluctuations in their quantities are primarily explained by country-specific factors. Using net positions in sovereign default insurance contracts for 60 countries between 2008 and 2015, we show that a country’s debt and size explain 75% of cross-country differences in net insured interest. We develop an economic framework showing that high co-movement in prices and low co-movement in quantities can arise jointly only if insurance demand and supply shift in opposite directions in response to global shocks. Positions data support that this evidence is more salient for more intermediated assets." @default.
- W4285678651 created "2022-07-17" @default.
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- W4285678651 date "2022-10-01" @default.
- W4285678651 modified "2023-09-28" @default.
- W4285678651 title "How sovereign is sovereign credit risk? Global prices, local quantities" @default.
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- W4285678651 doi "https://doi.org/10.1016/j.jmoneco.2022.07.005" @default.
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