Geopolitical tensions and sovereign credit risks

Demiralay, S ORCID: https://orcid.org/0000-0003-2543-7914, Kaawach, S, Kilincarslan, E and Semeyutin, A, 2024. Geopolitical tensions and sovereign credit risks. Economics Letters, 236: 111609. ISSN 0165-1765

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Abstract

This paper investigates the impact of country-specific geopolitical risks (CS_GPR) on credit default swaps (CDS). Using a dataset from 39 countries globally from 2006 to 2022, we find that idiosyncratic geopolitical shocks heighten the sovereign risk of the home country, causing significant increases in CDS spreads. The impact of CS_GPR on CDS becomes more pronounced during the periods of higher geopolitical tension, perceived sovereign credits risks, market volatility, and poorer economic and market performance.

Item Type:	Journal article
Publication Title:	Economics Letters
Creators:	Demiralay, S., Kaawach, S., Kilincarslan, E. and Semeyutin, A.
Publisher:	Elsevier
Date:	March 2024
Volume:	236
ISSN:	0165-1765
Identifiers:	Number Type 10.1016/j.econlet.2024.111609 DOI S0165176524000922 Publisher Item Identifier 1867674 Other
Divisions:	Schools > Nottingham Business School
Record created by:	Jonathan Gallacher
Date Added:	28 Feb 2024 16:36
Last Modified:	28 Feb 2024 16:36
URI:	https://irep.ntu.ac.uk/id/eprint/50976

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