Essays about: "sovereign yield spread"

Showing result 1 - 5 of 6 essays containing the words sovereign yield spread.

  1. 1. Political Risk in Asset Pricing - Evidence from Latin America: An Empirical Study of Brazil, Chile, Colombia, Mexico, and Peru

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Henry Chen; Maximilian Stärk; [2021]
    Keywords : Country risk; Emerging markets; Fama-French; International valuation; Political risk;

    Abstract : Project valuation in emerging markets is an important issue in international business. Practitioners and academics usually suggest adjusting the discount rate with the sovereign yield spread to capture political risk in the valuation. READ MORE

  3. 2. The impact of redenomination risk in the European government bond market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rasmus Rehn; [2014]
    Keywords : sovereign yield spread; government bonds; redenomination risk; euro crisis; EMU;

    Abstract : This paper provides an empirical analysis of European sovereign yield spreads in times when these may be influenced by redenomination risk arising from the possibility that one or several countries may leave the EMU. To test for redenomination risk impact on yield spreads, I estimate one regression model with a country-specific euro break-up risk indicator and one regression model with an event-indicator assumed to display inter-European reduction in this risk through the intervention by the ECB. READ MORE

  4. 3. Sovereign risk premiums in the eurozone: A regime switching analysis

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Gustaf Norrefeldt; [2014]
    Keywords : Sovereign risk premium; Government bonds; Yield spread; Markov switching regime model; European sovereign debt crisis; Business and Economics;

    Abstract : This paper provides an empirical analysis of the relationship between economic variables and sovereign risk premiums in the eurozone between the years 1988 and 2013. By using a Markov regime switching model it is possible to prove a nonlinear relationship. READ MORE

  5. 4. Wide Spread Trade: Can terms of trade explain sovereign CDS spreads?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Folke; Carl-Adam von Schéele; [2011]
    Keywords : Credit risk; Terms of trade; Credit Default Swaps; Emerging markets; Sovereign;

    Abstract : This study reexamines the recent finding that level and volatility of terms of trade has significant explanatory power on spreads of emerging market sovereigns. In contradiction to previous results, we find no significant effect of these variables after controlling for global factors. Specifically, we find that the U.S. READ MORE

  6. 5. Valuation in High Growth Markets: Capturing Country Risk in the Cost of Equity Capital

    University essay from IHH, Redovisning och finansiering

    Author : Gino Thomas Soeriowardojo; [2010]
    Keywords : Country Risk; Emerging Markets; Cost of Equity; Valuation; Country Risk Premium; Market Segmentation;

    Abstract : This paper adds to the understanding and transparency of equity pricing in emerging markets. Its novel contribution is that it empirically investigates the pricing of Country Risk in BRIC markets, using a two-factor intertemporal pricing model. READ MORE