Abstract
This paper analyzes the extent to which sovereign default risk in contagious. That is, contagion tests are conducted to determine whether ‘news’ regarding the creditworthiness of a sovereign borrower affect the spreads charged to others. The empirical results support the view that a systematic risk element enters into the default risk perceptions of lenders implying the existence of significant contagion effects in international lending.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.