Arbeitspapier

Does sovereign risk differ for domestic and foreign investors? Historical evidence from Scandinavian bond markets

This paper shows that geographical investor heterogeneity strongly influences sovereign risk. While standard sovereign debt models mainly attribute the absence of sovereign defaults to foreign creditor retaliation, a new theoretical literature argues that domestic creditors also affect borrowing governments' default decisions through channels of domestic politics. This paper examines this controversy using a newly assembled dataset on cross-listed Scandinavian sovereign yields traded at markets that abruptly went from integration to segmentation by capital controls and World War II. The results strongly suggest that domestic and foreign bond investors assessed different sovereign risks whereas more standard explanations based on macroeconomic factors, portfolio choice or risk aversion added little explanatory value. The study also documents large effects on recorded asset prices from institutional trading constraints (e.g., price limits), an issue largely neglected by previous research in historical long-run asset returns.

Sprache
Englisch

Erschienen in
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 585

Klassifikation
Wirtschaft
International Lending and Debt Problems
International Financial Markets
General Financial Markets: Government Policy and Regulation
Economic History: Financial Markets and Institutions: General, International, or Comparative
Economic History: Financial Markets and Institutions: Europe: 1913-
Economic History: Government, War, Law, International Relations, and Regulation: Europe: 1913-
Thema
Sovereign risk
Investor heterogeneity
Market segmentation
Domestic debt
Political economy
Historical finance
Cliometrics
Internationale Kreditvergabe
Internationaler Finanzmarkt
Öffentliche Anleihe
Anlageverhalten
Capital Asset Pricing Model
Internationale Marktsegmentierung
Schätzung
Dänemark
Schweden

Ereignis
Geistige Schöpfung
(wer)
Waldenström, Daniel
Ereignis
Veröffentlichung
(wer)
Stockholm School of Economics, The Economic Research Institute (EFI)
(wo)
Stockholm
(wann)
2005

Handle
Letzte Aktualisierung
20.09.2024, 08:21 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Waldenström, Daniel
  • Stockholm School of Economics, The Economic Research Institute (EFI)

Entstanden

  • 2005

Ähnliche Objekte (12)