Sovereign default risk and volatility

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 114
Issue: 1
Pages: 47-50

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In a model of sovereign debt with endogenous default, we find a non-monotonic relationship between default risk and volatility, reflecting a trade-off between prudence and the insurance value of default. We show that this feature also holds in the data.

Technical Details

RePEc Handle
repec:eee:ecolet:v:114:y:2012:i:1:p:47-50
Journal Field
General
Author Count
1
Added to Database
2026-01-25