 Anticipating Sovereign Debt CrisesChapter Chapter 4 in When Sovereigns Go Bankrupt, 2014, pp 33-44 from Springer Abstract: Abstract Chapter 4 studies the various tools that investors can use to discriminate among borrowers and forecast debt crises. Section 4.1 describes the traditional indicators of sovereign risk – bond yields and spreads as well as ratings provided by Fitch, Moody’s, Standard & Poor’s (S&P), and Euromoney Country Risk (ECR) – and identifies their determinants. It is worth noting that sovereign bond spreads reflect more than country-specific fundamentals; in contrast to other risk indicators, risk premiums are strongly affected by liquidity and market sentiment. Section 4.2 compares these various indicators. Credit rating agencies and ECR ratings are strongly correlated with one another, but their correlation with 1- and 10-year sovereign bond yields is relatively weak. Section 4.3 demonstrates that sovereign debtors must overcome seven types of risk in order to preserve their creditworthiness: natural disaster, geopolitical risk, institutional and political risk, economic risk, monetary and exchange rate risk, fiscal and tax-system risk, and debt-related risk. Keywords: Spread; Yield; Sovereign rating; Rating agency; Sovereign risk; Debt sustainability (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:spbchp:978-3-319-08988-1_4 Ordering information: This item can be ordered from DOI: 10.1007/978-3-319-08988-1_4 Access Statistics for this chapter More chapters in SpringerBriefs in Economics from Springer |
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