Replication files for "Sovereign Risk Matters: Endogenous Default Risk and the Time-Varying Volatility of Interest Rate Spreads", to be published in the Journal of International Economics
Replication files for "Sovereign Risk Matters: Endogenous Default Risk and the Time-Varying Volatility of Interest Rate Spreads", to be published in the Journal of International Economics
We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal compon
