Sovereign risk in emerging and advanced economies: The divergent roles of policy credibility and growth
研究了15个新兴和14个发达经济体的主权风险驱动因素，发现新兴经济体主要受货币政策可信度影响，而发达经济体则主要受经济增长放缓驱动。
We examine the key drivers of sovereign risk across 15 emerging and 14 advanced economies (EMs and AEs, respectively) using fixed-effects and Common Correlated Effects models to account for cross-sectional dependence. We find that in EMs, sovereign credit default swap (CDS) spreads are primarily influenced by monetary policy credibility, whereas in AEs, subdued economic growth is the predominant factor driving sovereign risk. These findings underscore the pressing need to bolster monetary policy credibility in EMs while highlighting the long-term economic consequences of sluggish growth in AEs, particularly in the post-global financial crisis era. • We examine the key drivers of sovereign risk across 15 emerging and 14 advanced economies. • We employ fixed-effects and Common Correlated Effects estimations to handle cross-sectional dependence. • Monetary policy credibility is a key determinant of sovereign CDS in EMs. • Weak growth drives higher sovereign risk in AEs, particularly in the post-global financial crisis era.