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An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk
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An explained extreme gradient boosting approach for identifying the time-varying determinants of sovereign risk (2023)An explained extreme gradient boosting ap…The political economy of reforms in Central Bank design: evidence from a new dataset (2022)The political economy of refo…Sovereign risk premia and global macroeconomic conditions (2022)Sovereign risk premia and glo…Sovereign default risk in OECD countries: Do global factors matter? (2017)Sovereign default risk in OEC…The term structure of sovereign default risk in EMU member countries and its determinants (2012)The term structure of soverei…Emerging market sovereign bond spreads: Estimation and back-testing (2012)Emerging market sovereign bon…How Sovereign Is Sovereign Credit Risk? (2011)How Sovereign Is Sovereign Cr…Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt (2010)Determinants of Sovereign Ris…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals (2002)Emerging market bond spreads …Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Testing for Serial Correlation in Linear Panel-data Models (2003)ASSESSING THE ENDOGENEITY OF OCA CONDITIONS IN EMU* (2012)Macroeconomic effects on emerging-markets sovereign credit spreads (2015)How fiscal rules can reduce sovereign debt default risk (2021)Comparing Predictive Accuracy (1994)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)Testing for Error Correction in Panel Data* (2007)Emerging market sovereign bond spreads and shifts in global market sentiment (2014)The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences (2016)A dynamic spillover analysis of crude oil effects on the sovereign credit risk of exporting countries (2018)A Theory of the Term Structure of Interest Rates (1985)Liquidity Risk and Expected Stock Returns (2003)Asset pricing with liquidity risk (2005)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)General Diagnostic Tests for Cross Section Dependence in Panels (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)Debt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Modeling Term Structures of Defaultable Bonds (1999)Market Liquidity and Funding Liquidity (2008)Risk Matters: The Real Effects of Volatility Shocks (2011)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2018)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Default Risk of Advanced Economies: An Empirical Analysis of Credit Default Swaps during the Financial Crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Political Risk Spreads (2014)The Modern History of Exchange Rate Arrangements: A Reinterpretation (2004)The Worldwide Governance Indicators: Methodology and Analytical Issues (2010)The KOF Globalisation Index – revisited (2019)Exchange rate and inflation under weak monetary policy: Turkey verifies theory (2023)Does FinTech Increase Bank Risk-taking? (2024)Revisiting Central Bank Independence in the World: An Extended Dataset (2025)Using Default Rates to Model the Term Structure of Credit Risk (1994)What Explains Changing Spreads on Emerging-Market Debt: Fundamentals or Market Sentiment? (1998)The Evolution and Determinants of Emerging Markets Credit Spreads in the 1990s (2005)Emerging Markets and Financial Globalization (2006)Leads and lags in sovereign credit ratings (2010)The pricing of sovereign risk and contagion during the European sovereign debt crisis (2012)Asset Prices in an Exchange Economy (1978)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)
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References

  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2011How Sovereign Is Sovereign Credit Risk?1,129 cited
  • 2010Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt530 cited
  • 2022The political economy of reforms in Central Bank design: evidence from a new dataset251 cited
  • 2002Emerging market bond spreads and sovereign credit ratings: reconciling market views with economic fundamentals148 cited
  • 2012Emerging market sovereign bond spreads: Estimation and back-testing68 cited
  • 2012The term structure of sovereign default risk in EMU member countries and its determinants31 cited
  • 2017Sovereign default risk in OECD countries: Do global factors matter?18 cited
  • 2022Sovereign risk premia and global macroeconomic conditions17 cited

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