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RePEcMacro-Finance & Rates

Geopolitical risk and emerging market sovereign risk premia

The study finds that geopolitical risk raises sovereign credit spreads in emerging markets, with threats having larger effects than acts, and responses shifting substantially after the Ukraine invasion.

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Featured in No. 133 on 2 Oct 2026 · 9 days after release

Sovereign spread responses to geopolitical risk threats versus acts over time.
Figure 4: Response of SCDS spreads (top row) and EMBI spreads (bottom row) to a one-standard-deviation increase in alternative GPR measures: the overall GPR index (left), GPR Threats (center), and GPR Acts (right). Solid, dashed, and short-dashed lines represent the average responses (at the panel-…
Released
23 Sep 2026
First featured
No. 133 · 2 Oct 2026
Published in
Not yet, as far as Semantic Scholar knows
Fanfare
2 of 5
Identifier
RePEc:bis:biswps:1368
Authors
Fredy Gamboa and Jose Vicente Romero

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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