Details about Patrick Augustin

Access statistics for papers by Patrick Augustin.

Last updated 2020-05-21. Update your information in the RePEc Author Service.

Short-id: pau92

Working Papers

2020

1. The Term Structure of Covered Interest Rate Parity Violations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2019

2. Benchmark Interest Rates When the Government is Risky
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2018

3. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (13)

2016

4. How do insiders trade?
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)
5. Sovereign to corporate risk spillovers
   Working Paper Series, European Central Bank View citations (26)
   See also Journal Article Sovereign to Corporate Risk Spillovers, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (56) (2018)
6. Why do investors buy sovereign default insurance?
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (4)

2012

7. Sovereign Credit Default Swap Premia
   Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (25)

Journal Articles

2018

1. Sovereign to Corporate Risk Spillovers
   Journal of Money, Credit and Banking, 2018, 50, (5), 857-891 View citations (56)
   See also Working Paper Sovereign to corporate risk spillovers, Working Paper Series (2016) View citations (26) (2016)
2. The term structure of CDS spreads and sovereign credit risk
   Journal of Monetary Economics, 2018, 96, (C), 53-76 View citations (59)

2016

3. Credit Default Swaps: Past, Present, and Future
   Annual Review of Financial Economics, 2016, 8, (1), 175-196 View citations (34)
4. Real Economic Shocks and Sovereign Credit Risk
   Journal of Financial and Quantitative Analysis, 2016, 51, (2), 541-587 View citations (40)

2014

5. Credit Default Swaps: A Survey
   Foundations and Trends(R) in Finance, 2014, 9, (1-2), 1-196 View citations (101)