Starjournal Quotation Della Corte, Pasquale, Sarno, Lucio, Schmeling, Maik, Wagner, Christian. 2021. Exchange Rates and Sovereign Risk. Management Science (MS).


RIS


BibTeX

Abstract

An increase in a country's sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks, and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Management Science (MS)
Citation Index SSCI
WU Journalrating 2009 A+
Starjournal Y
Language English
Title Exchange Rates and Sovereign Risk
Year 2021
Reviewed? Y
URL https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2354935
DOI http://dx.doi.org/10.2139/ssrn.2354935
Open Access N
JEL F31, G12, G15

Associations

People
Wagner, Christian (Details)
External
Della Corte, Pasquale (Imperial College London, United Kingdom)
Sarno, Lucio (University of Cambridge, United Kingdom)
Schmeling, Maik (Goethe University Frankfurt, Germany)
Organization
Institute for Finance, Banking and Insurance IN (Details)
Research areas (Ă–STAT Classification 'Statistik Austria')
5361 Financial management (Details)
Google Scholar: Search