超越国界：评估地缘政治紧张局势对主权风险动态的影响

IF 2.3 3区经济学 Q2 ECONOMICS

European Journal of Political Economy Pub Date : 2024-05-17 DOI:10.1016/j.ejpoleco.2024.102550

António Afonso , José Alves , Sofia Monteiro

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引用次数: 0

摘要

在 1984-2022 年期间，我们通过实施 OLS-固定效应回归和广义矩量法（GMM），评估了地缘政治风险和世界不确定性对 26 个欧洲经济体主权债务风险的影响。我们发现，以 5 年期和 10 年期信用违约掉期（CDS）和债券回报率衡量，边境国家的地缘政治紧张局势和全球不确定性导致欧洲国家主权风险上升。此外，这种相互联系在次贷危机等动荡时期更为明显。最后，我们发现南美和亚洲等其他国家集团的地缘政治紧张局势对欧洲国家的政府风险有重大影响。

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Beyond borders: Assessing the influence of Geopolitical tensions on sovereign risk dynamics

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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来源期刊

European Journal of Political Economy Multiple-

CiteScore

3.40

自引率

10.00%

发文量

106

期刊介绍： The aim of the European Journal of Political Economy is to disseminate original theoretical and empirical research on economic phenomena within a scope that encompasses collective decision making, political behavior, and the role of institutions. Contributions are invited from the international community of researchers. Manuscripts must be published in English. Starting 2008, the European Journal of Political Economy is indexed in the Social Sciences Citation Index published by Thomson Scientific (formerly ISI).