How Sovereign Is Sovereign Credit Risk?
利用大量主权CDS数据，发现主权信用风险主要由全球因素驱动，一个主成分解释了64%的利差变化，且利差与美国股市和高收益市场关联更强，风险溢价约占利差的三分之一。
We study the nature of sovereign credit risk using an extensive set of sovereign CDS data. We find that the majority of sovereign credit risk can be linked to global factors. A single principal component accounts for 64 percent of the variation in sovereign credit spreads. Furthermore, sovereign credit spreads are more related to the US stock and high-yield markets than they are to local economic measures. We decompose credit spreads into their risk premium and default risk components. On average, the risk premium represents about a third of the credit spread.