Interpreting sovereign spreads

Eli Remolona, Michela Scatigna () and Eliza Wu

BIS Quarterly Review, 2007

Abstract: Sovereign spreads can be broken up into two components=the expected loss from default and the risk premium, with the latter reflecting how investors price the risk of unexpected losses. We show that the risk premium is often the larger part of the spread.

JEL-codes: F34 G15 (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://www.bis.org/publ/qtrpdf/r_qt0703e.pdf (application/pdf)
http://www.bis.org/publ/qtrpdf/r_qt0703e.htm (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bis:bisqtr:0703e

Access Statistics for this article

BIS Quarterly Review is currently edited by Christian Upper

More articles in BIS Quarterly Review from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().