Mispricing of debt expansion in the eurozone sovereign credit market
(2023)
Journal Article
Lotfi, S., Milidonis, A., & Zenios, S. A. (2024). Mispricing of debt expansion in the eurozone sovereign credit market. Journal of Financial Stability, 70, Article 101215. https://doi.org/10.1016/j.jfs.2023.101215
We find evidence consistent with risk mispricing in the eurozone sovereign credit market for crisis and non-crisis countries alike, using a novel variable of sovereign debt expansion (DE) that we construct. DE predicts increased default probability,... Read More about Mispricing of debt expansion in the eurozone sovereign credit market.