Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2372"
  #_source: array:26 [
    "id" => "2372"
    "slug" => "real-economic-shocks-and-sovereign-credit-risk"
    "yearMonth" => "2016-04"
    "year" => "2016"
    "title" => "Real Economic Shocks and Sovereign Credit Risk"
    "description" => "AUGUSTIN, P. et TÉDONGAP, R. (2016). Real Economic Shocks and Sovereign Credit Risk. <i>Journal of Financial and Quantitative Analysis</i>, 2(51), pp. 541-587."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "TÉDONGAP Roméo"
        "bid" => "B00693411"
        "slug" => "tedongap-romeo"
      ]
      1 => array:1 [
        "name" => "AUGUSTIN P."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "Credit Default Swap Spreads"
      1 => "Generalized Disappointment Aversion"
      2 => "Sovereign Risk"
      3 => "Term Structure"
    ]
    "updatedAt" => "2023-09-06 13:57:23"
    "publicationUrl" => "https://www.jstor.org/stable/43862327"
    "publicationInfo" => array:3 [
      "pages" => "541-587"
      "volume" => "2"
      "number" => "51"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "We provide new empirical evidence that U.S. expected growth and consumption volatility are closely related to the strong comovement in sovereign spreads. We rationalize these findings in an equilibrium model with recursive utility for credit default swap (CDS) spreads. The framework links a reduced-form default process with country-specific sensitivity to expected growth and macroeconomic uncertainty. Exploiting the high-frequency information in the CDS term structure across 38 countries, we estimate the model and find parameters consistent with preference for early resolution of uncertainty. Our results confirm the existence of time-varying risk premia in sovereign spreads as compensation for exposure to common U.S. macroeconomic risk."
      "en" => "We provide new empirical evidence that U.S. expected growth and consumption volatility are closely related to the strong comovement in sovereign spreads. We rationalize these findings in an equilibrium model with recursive utility for credit default swap (CDS) spreads. The framework links a reduced-form default process with country-specific sensitivity to expected growth and macroeconomic uncertainty. Exploiting the high-frequency information in the CDS term structure across 38 countries, we estimate the model and find parameters consistent with preference for early resolution of uncertainty. Our results confirm the existence of time-varying risk premia in sovereign spreads as compensation for exposure to common U.S. macroeconomic risk."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-21T15:21:45.000Z"
    "docTitle" => "Real Economic Shocks and Sovereign Credit Risk"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/tedongap-romeo">TÉDONGAP Roméo</a>, AUGUSTIN P."
    "docDescription" => "<span class="document-property-authors">TÉDONGAP Roméo, AUGUSTIN P.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2016</span>"
    "keywordList" => "<a href="#">Credit Default Swap Spreads</a>, <a href="#">Generalized Disappointment Aversion</a>, <a href="#">Sovereign Risk</a>, <a href="#">Term Structure</a>"
    "docPreview" => "<b>Real Economic Shocks and Sovereign Credit Risk</b><br><span>2016-04 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://www.jstor.org/stable/43862327" target="_blank">Real Economic Shocks and Sovereign Credit Risk</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.357207
  +"parent": null
}