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Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors

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  • Fong, Tom Pak Wing
  • Li, Ka-Fai
  • Fu, John
Abstract
•We examine the role of global and domestic factors for sovereign tail risk.•Sovereign tail risk denotes the likelihood of a sharp rise in sovereign CDS spreads.•A panel logistic model is used to evaluate the importance of risk factors.•Risk factors' explanatory power increases with the severity of tail risk nonlinearly.

Suggested Citation

  • Fong, Tom Pak Wing & Li, Ka-Fai & Fu, John, 2018. "Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors," Emerging Markets Review, Elsevier, vol. 34(C), pages 98-110.
    • Handle: RePEc:eee:ememar:v:34:y:2018:i:c:p:98-110
    DOI: 10.1016/j.ememar.2017.11.002
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    References listed on IDEAS

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    Cited by:

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    2. Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    3. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2023. "Systemwide directional connectedness from Crude Oil to sovereign credit risk," Journal of Commodity Markets, Elsevier, vol. 30(C).
    4. Wang, Jun & Sun, Xiaolei & Li, Jianping, 2020. "How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 34(C).

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