Sovereign risk dynamics in the EU: The time varying relevance of fiscal and external (im)balances*
研究利用27个欧洲经济体2001年第四季度至2022年第三季度的面板数据，通过两步法估计财政和外部可持续性的时变指标，发现两者改善均能降低主权风险，尤其对公共债务上升的国家效果更显著。
Acknowledging the potential detrimental impact that twin-deficits can have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European economies from Q4 2001 to Q3 2022. We first estimate a country-specific time-varying measure of fiscal sustainability, based on the cointegration between government revenues and expenditures and external sustainability, derived from the cointegration of exports and imports. We then use these time-varying coefficients to assess their impact on sovereign risk, proxied by 10-year CDS and CDS spreads (against the US), employing a Weighted Least Squares (WLS) analysis. Notably, we show that an improvement of both fiscal and external sustainability lead to a reduction in sovereign risk. This phenomenon is particularly pronounced for countries experiencing an upward trajectory in public debt levels.