Multidimensional Assessment of Economies by the Level of Sovereign Risk Premium-Reference-Cited by-同舟云学术

Multidimensional Assessment of Economies by the Level of Sovereign Risk Premium

Published:2020-04-30 Issue:2 Volume: Page:3-27
ISSN:0130-0105
Container-title:Moscow University Economics Bulletin
language:ru
Short-container-title:MUEB

Author:

Drobyshevsky Sergey¹^ORCID,Trunin Pavel¹^ORCID,Gadiy Lyudmila²^ORCID,Chembulatova Mariya³^ORCID

Affiliation:

1. Gaidar Institute, RANEPA (Moscow, Russia)

2. NRU Higher School of Economics (Moscow, Russia)

3. Gaidar Institute (Moscow, Russia)

Abstract

The analysis of the international market for credit default swaps (CDS) shows that the interdependence of sovereign CDS spreads is increasing and the market remains segmented. However, the reduction in the variation of sovereign CDS spreads means increased competition for capital and should be taken into account by monetary authorities of developed countries when they tighten monetary policy. The article shows a significant role of political risks in determining the level of sovereign risk.

Publisher

Faculty of Economics, Lomonosov Moscow State University

Subject

Electrical and Electronic Engineering,Building and Construction

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