Sovereign Default Risk and the U.S. Equity Market
构建了一个包含违约企业和政府的两国资产定价模型，发现一国主权信用风险上升会压低国际股票价格并增加波动性，尤其在不利经济条件下和财务困境企业附近影响最强。结构估计表明欧洲主权违约风险通过经济放缓威胁影响欧美股市。
This paper develops a two-country asset pricing model with defaultable firms and governments. This model shows that higher sovereign credit risk in a country depresses equity prices internationally and increases their volatility. The effect is strongest during adverse economic conditions and when firms are close to financial distress. A structural estimation provides evidence that sovereign default risk in Europe affects European and U.S. stock markets through the threat of an economic slowdown.