全球智库信息集成服务系统(G2TT): Political Risk Spreads

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w19786
来源ID	Working Paper 19786
	Political Risk Spreads
	Geert Bekaert; Campbell R. Harvey; Christian T. Lundblad; Stephan Siegel
发表日期	2014-01-03
出版年	2014
语种	英语
摘要	We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a country's U.S. dollar debt and an equivalent U.S. Treasury bond. We explain the variation in these sovereign spreads with four factors: global economic conditions, country-specific economic factors, liquidity of the country's bond, and political risk. We then extract the part of the sovereign spread that is due to political risk, making use of political risk ratings. In addition, we provide new evidence that these political risk ratings are predictive, on average, of future risk realizations using data on political risk claims as well as a novel textual-based database of risk realizations. Our political risk spread measure does not make the mistake of double counting systematic risk in the evaluation of international investments as some conventional measures do. Furthermore, we show how to construct political risk spreads for countries that do not have sovereign bond data. Finally, we link our political risk spreads to foreign direct investment. We show that a one percent point reduction in the political risk spread is associated with a 12 percent increase in net-inflows of foreign direct investment.
主题	International Economics ; International Factor Mobility ; International Finance ; Financial Economics ; Financial Markets ; Corporate Finance ; Public Economics ; Taxation ; Other ; Law and Economics ; Accounting, Marketing, and Personnel ; Development and Growth ; Development
URL	https://www.nber.org/papers/w19786
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/577459
推荐引用方式 GB/T 7714	Geert Bekaert,Campbell R. Harvey,Christian T. Lundblad,et al. Political Risk Spreads. 2014.