Quality of government institutions and spreads on sovereign credit default swaps

被引：17

作者：

Chen, Hsien-Yi ^{[1
,2
]}

Chen, Sheng-Syan ^{[3
]}

机构：

[1] Asia Univ, Coll Management, Dept Finance, Taichung, Taiwan

[2] China Med Univ, Taichung, Taiwan

[3] Natl Chengchi Univ, Coll Commerce, Dept Finance, 64,Sec 2,ZhiNan Rd, Taipei 11605, Taiwan

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2018年 / 87卷

关键词：

Institutional quality; Sovereign default; Credit risk; EMPIRICAL-ANALYSIS; DEBT; RISK; LAW; REPUDIATION; ENFORCEMENT; INVESTMENT; COUNTRIES; ECONOMICS; ORIGINS;

D O I：

10.1016/j.jimonfin.2018.05.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine how the quality of government institutions affects the likelihood of sovereign default. We find both economically and statistically significant adverse effects of country governance indicators on sovereign credit default swap spreads. The evidence suggests that better-quality governance enhances a country's willingness to repay debt, and hence reduces the probability of sovereign default. The results still hold after we account for potential endogeneity and conduct a number of robustness tests. (C) 2018 Elsevier Ltd. All rights reserved.

引用

页码：82 / 95

页数：14

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