Information Content of Sovereign Risk Measures
Information Content of Sovereign Risk Measures
Author(s): Ľubomíra GertlerSubject(s): National Economy, Economic policy, Government/Political systems, Financial Markets, Public Finances
Published by: Vysoká škola evropských a regionálních studií, z. ú.
Keywords: government bond risk; risk premium; credit default swap; financial crisis;
Summary/Abstract: Measuring the risks of government bonds is followed by traditional approaches which we use to describe the chain of events in a way they have gone on during the recent years of financial, economic and debt crisis. Studying the Eurozone data, we point to the characteristics that are necessary to be noticed when measuring the risk of a country, based on the range of government bond revenues and credit default swaps. Although we find both measures to be closely correlated, there are specific issues that need to remain in check when being used.
Journal: Auspicia
- Issue Year: 2014
- Issue No: 1
- Page Range: 30-36
- Page Count: 7
- Language: English
