{"id":{"repo_id":"mit","oai_identifier":"oai:dspace.mit.edu:1721.1/124583"},"canonical_url":"https://search.dev.ndltd.org/etd/mit/oai:dspace.mit.edu:1721.1/124583","repository":{"repo_id":"mit","name":"MIT","base_url":"https://dspace.mit.edu/oai/request"},"display":{"title":"Global factors and the pricing of sovereign risk","abstract":"I study the effects of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of sovereign distress to the real economy by studying the cross-sectional response of security prices (corporate CDS spreads and stock returns) to global shocks. I find that positive macroeconomic surprises in the US systematically reduce sovereign spreads consistent with the view that global investors price sovereign risk. However, I find that both the size and the sign of the effect depend on the business cycle in the US. During contractionary periods the positive effect of news is greatly reduced, often erased, and sometimes reversed. I also find evidence of asymmetric and non-linear effects. Moreover, I find that country characteristics such as its credit rating, its debt-to-GDP ratio, and measures of economic integration play a crucial role in determining the country's response to US shocks.","abstract_html":"I study the effects of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of sovereign distress to the real economy by studying the cross-sectional response of security prices (corporate CDS spreads and stock returns) to global shocks. I find that positive macroeconomic surprises in the US systematically reduce sovereign spreads consistent with the view that global investors price sovereign risk. However, I find that both the size and the sign of the effect depend on the business cycle in the US. During contractionary periods the positive effect of news is greatly reduced, often erased, and sometimes reversed. I also find evidence of asymmetric and non-linear effects. Moreover, I find that country characteristics such as its credit rating, its debt-to-GDP ratio, and measures of economic integration play a crucial role in determining the country's response to US shocks.","abstract_has_math":false,"creators":["Elias, Leonardo Ariel."],"institution":"Massachusetts Institute of Technology","degree_name":"Master","degree_level":null,"degree_discipline":null,"degree_department":"Sloan School of Management","school":null,"contributors":[],"advisors":["Adrien Verdelhan."],"committee_chairs":[],"committee_members":[],"year":2019,"date_issued":"2019","date_published":"2019","updated_at":"2026-07-22T22:22:25Z","subjects":["Sloan School of Management."],"languages":["eng"],"rights":["MIT theses are protected by copyright. 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I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of sovereign distress to the real economy by studying the cross-sectional response of security prices (corporate CDS spreads and stock returns) to global shocks. I find that positive macroeconomic surprises in the US systematically reduce sovereign spreads consistent with the view that global investors price sovereign risk. However, I find that both the size and the sign of the effect depend on the business cycle in the US. During contractionary periods the positive effect of news is greatly reduced, often erased, and sometimes reversed. I also find evidence of asymmetric and non-linear effects. Moreover, I find that country characteristics such as its credit rating, its debt-to-GDP ratio, and measures of economic integration play a crucial role in determining the country's response to US shocks."]},{"key":"dc:description.degree","label":"Dc Description Degree","values":["S.M. in Management Research"]},{"key":"dc:title","label":"Title","values":["Global factors and the pricing of sovereign risk"]}]}],"canonical_facts":{"dc:contributor.advisor":["Adrien Verdelhan."],"dc:contributor.department":["Sloan School of Management","Sloan"],"dc:contributor.other":["Sloan School of Management."],"dc:creator":["Elias, Leonardo Ariel."],"dc:date.accessioned":["2020-04-13T18:27:48Z"],"dc:date.available":["2020-04-13T18:27:48Z"],"dc:date.issued":["2019"],"dc:description":["Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019","Cataloged from PDF version of thesis.","Includes bibliographical references (pages 21-22)."],"dc:description.abstract":["I study the effects of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. 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