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Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors

Tom Pak Wing Fong, Ka-Fai Li and John Fu

Emerging Markets Review, 2018, vol. 34, issue C, 98-110

Abstract: •We examine the role of global and domestic factors for sovereign tail risk.•Sovereign tail risk denotes the likelihood of a sharp rise in sovereign CDS spreads.•A panel logistic model is used to evaluate the importance of risk factors.•Risk factors' explanatory power increases with the severity of tail risk nonlinearly.

Date: 2018
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