How Sovereign is Sovereign Credit Risk?

Francis A. Longstaff, Jun Pan, Lasse H. Pedersen, Kenneth J. Singleton

NBER Working Paper No. 13658
Issued in December 2007

---- Acknowledgements -----

We are grateful for valuable comments and suggestions received from Andrew Atkeson, Engelbert Dockner, Sebastian Edwards, Robert Engle, Don Morrison, Alex Reyfman, Walter Torous, and seminar participants at Barclays Global Investors, the Moody's and Copenhagen Business School Credit Conference, UCLA, and the University of Vienna. We are also grateful for the research assistance of Xiaolong Cheng, Priyank Gandhi, Brent Longstaff, and Scott Longstaff. All errors are our responsibility. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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