{"title":"关于以外币发行的爱尔兰主权债券收益的信用风险成分的说明","authors":"E. Casey, Peter G. Dunne","doi":"10.2139/ssrn.2009802","DOIUrl":null,"url":null,"abstract":"In this note we provide new evidence regarding the size and dynamics of the credit risk premium on Irish Sovereign bonds during the 1980s and early 1990s when fiscal conditions were similar to those currently being experienced. Our analysis is not confounded by the effects of exchange rate risk since it is based on yield spreads of foreign issues of Irish bonds. We find that there was a surprisingly small but significant risk premium related to expected future fiscal instability. We discuss why recent sovereign credit risk conditions seem to be in such stark contrast with the past experience.","PeriodicalId":433744,"journal":{"name":"ERN: Deficit; Surplus (Topic)","volume":"39 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"A Note on the Credit Risk Component of Yields on Irish Sovereign Bonds Issued in Foreign Currencies\",\"authors\":\"E. Casey, Peter G. Dunne\",\"doi\":\"10.2139/ssrn.2009802\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this note we provide new evidence regarding the size and dynamics of the credit risk premium on Irish Sovereign bonds during the 1980s and early 1990s when fiscal conditions were similar to those currently being experienced. Our analysis is not confounded by the effects of exchange rate risk since it is based on yield spreads of foreign issues of Irish bonds. We find that there was a surprisingly small but significant risk premium related to expected future fiscal instability. We discuss why recent sovereign credit risk conditions seem to be in such stark contrast with the past experience.\",\"PeriodicalId\":433744,\"journal\":{\"name\":\"ERN: Deficit; Surplus (Topic)\",\"volume\":\"39 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-07-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Deficit; Surplus (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2009802\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Deficit; Surplus (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2009802","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Note on the Credit Risk Component of Yields on Irish Sovereign Bonds Issued in Foreign Currencies
In this note we provide new evidence regarding the size and dynamics of the credit risk premium on Irish Sovereign bonds during the 1980s and early 1990s when fiscal conditions were similar to those currently being experienced. Our analysis is not confounded by the effects of exchange rate risk since it is based on yield spreads of foreign issues of Irish bonds. We find that there was a surprisingly small but significant risk premium related to expected future fiscal instability. We discuss why recent sovereign credit risk conditions seem to be in such stark contrast with the past experience.
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