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
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
