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The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China
16 references·6 citing·53 second hopsampled
The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China (2015)The role of macroeconomic news in soverei…A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)A Pyrrhic Victory? Bank Bailo…Systemic Banking Crises Database (2013)Systemic Banking Crises Datab…How Sovereign Is Sovereign Credit Risk? 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(2005)Country spreads and emerging …Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? (2002)Emerging Market Instability: …Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Why Do Markets Move Together?…Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…The effect of economic and political uncertainty on sovereign CDS spreads (2023)The effect of economic and po…Modeling the global sovereign credit network under climate change (2023)Modeling the global sovereign…Does climate change affect sovereign credit risk? International evidence (2023)Does climate change affect so…Sovereign risk spillovers: A network approach (2022)Sovereign risk spillovers: A …An international forensic perspective of the determinants of bank CDS spreads (2017)An international forensic per…Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust (2016)Sovereign debt spreads in EMU…Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)The pricing of commodity contracts (1976)A Theory of the Term Structure of Interest Rates (1985)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)The Information Content of Annual Earnings Announcements (1968)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Can volume predict Bitcoin returns and volatility? 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References

  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2013Systemic Banking Crises Database1,162 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 1996Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements867 cited
  • 2014A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk812 cited
  • 2008Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads805 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 2005Country spreads and emerging countries: Who drives whom?698 cited
  • 2009The Determinants of Credit Default Swap Premia663 cited
  • 2010Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt530 cited
  • 2009The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis526 cited
  • 1995Good News, Bad News, Volatility, and Betas

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406 cited
  • 2002Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?399 cited
  • Cited by

    • 2022Sovereign risk spillovers: A network approach47 cited
    • 2023Modeling the global sovereign credit network under climate change47 cited
    • 2016Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust45 cited
    • 2023The effect of economic and political uncertainty on sovereign CDS spreads32 cited
    • 2017An international forensic perspective of the determinants of bank CDS spreads32 cited
    • 2023Does climate change affect sovereign credit risk? International evidence31 cited