Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors
Tom Pak Wing Fong,
Ka-Fai Li and
Emerging Markets Review, 2018, vol. 34, issue C, 98-110
•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.
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:34:y:2018:i:c:p:98-110
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