Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
Price fluctuations of sovereign default insurance are dominated by common risks. In contrast, fluctuations in their quantities are primarily explained by country-specific factors. Using net positions in sovereign default insurance contracts for 60 countries between 2008 and 2015, we show that a country’s debt and size explain 75% of cross-country differences in net insured interest. We develop an economic framework showing that high co-movement in prices and low co-movement in quantities can arise jointly only if insurance demand and supply shift in opposite directions in response to global shocks. Positions data support that this evidence is more salient for more intermediated assets.