Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/29499 |
Resumo: | We assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies during the period 1984-2022, through the implementation of OLS-Fixed Effects regressions and the Generalized Method of Moments (GMM). We find that geopolitical tensions and global uncertainty in border countries contribute to the rise of European country’s sovereign risk as measured by 5- and 10-year Credit Default Swaps (CDS) and bond returns. Moreover, this interconnection is more pronounced during turbulent times such as the subprime crisis. Lastly, we found that geopolitical tensions in other country’ groups such as South America and Asia have a significant impact on the government risks of European countries. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamicsGeopolitical RiskWorld UncertaintyPolitical TensionsSovereign RiskEuropean EconomyGMMSubprime crisisWe assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies during the period 1984-2022, through the implementation of OLS-Fixed Effects regressions and the Generalized Method of Moments (GMM). We find that geopolitical tensions and global uncertainty in border countries contribute to the rise of European country’s sovereign risk as measured by 5- and 10-year Credit Default Swaps (CDS) and bond returns. Moreover, this interconnection is more pronounced during turbulent times such as the subprime crisis. Lastly, we found that geopolitical tensions in other country’ groups such as South America and Asia have a significant impact on the government risks of European countries.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaAfonso, AntónioAlves, JoséMonteiro, Sofia2023-11-24T15:02:10Z2023-112023-11-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/29499engAfonso, António, José Alves e Sofia Monteiro (2023). "Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics". REM Working paper series, nº 0300/20232184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-26T01:32:19Zoai:www.repository.utl.pt:10400.5/29499Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T23:19:49.920857Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics |
title |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics |
spellingShingle |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics Afonso, António Geopolitical Risk World Uncertainty Political Tensions Sovereign Risk European Economy GMM Subprime crisis |
title_short |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics |
title_full |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics |
title_fullStr |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics |
title_full_unstemmed |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics |
title_sort |
Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics |
author |
Afonso, António |
author_facet |
Afonso, António Alves, José Monteiro, Sofia |
author_role |
author |
author2 |
Alves, José Monteiro, Sofia |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Afonso, António Alves, José Monteiro, Sofia |
dc.subject.por.fl_str_mv |
Geopolitical Risk World Uncertainty Political Tensions Sovereign Risk European Economy GMM Subprime crisis |
topic |
Geopolitical Risk World Uncertainty Political Tensions Sovereign Risk European Economy GMM Subprime crisis |
description |
We assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies during the period 1984-2022, through the implementation of OLS-Fixed Effects regressions and the Generalized Method of Moments (GMM). We find that geopolitical tensions and global uncertainty in border countries contribute to the rise of European country’s sovereign risk as measured by 5- and 10-year Credit Default Swaps (CDS) and bond returns. Moreover, this interconnection is more pronounced during turbulent times such as the subprime crisis. Lastly, we found that geopolitical tensions in other country’ groups such as South America and Asia have a significant impact on the government risks of European countries. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-11-24T15:02:10Z 2023-11 2023-11-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/29499 |
url |
http://hdl.handle.net/10400.5/29499 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Afonso, António, José Alves e Sofia Monteiro (2023). "Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics". REM Working paper series, nº 0300/2023 2184-108X |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
publisher.none.fl_str_mv |
ISEG - REM - Research in Economics and Mathematics |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799135497208987648 |