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Pricing Conflict Risk: Evidence From Sovereign Bonds.pdf

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Preview of Pricing Conflict Risk: Evidence from Sovereign Bonds
🔗 Source: conference.nber.org
📊 Size: 872 KB
📄 Pages: 63 pages
⬇️ Downloads: 60

Summary

Sovereign bond markets price violent conflict, with bond prices falling 1.2% two weeks after conflict onset due to increased credit risk. A bond pricing model reveals underreaction and investor learning, with the share of the shock priced in rising from 14% to 75% after 15 days. Bondholders respond more to severe violence near the capital city and conflicts targeting the state, implying accurate pricing of information about conflict costs. International news media drives Bayesian learning about conflict. The effect of conflict on bond markets is highly heterogeneous, with investors only responding when conflict threatens the state, increasing credit risk.

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Sovereign bond markets price violent conflict, with bond prices falling 1.2% two weeks after conflict onset due to increased credit risk.

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  • File Format: PDF
  • File Size: 872 KB
  • Pages: 63
  • Language: EN
  • Total Downloads: 60
  • Last Updated: 7 days ago

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