US macroeconomic surprises and the emerging‐market sovereign CDS market

Abstract

Our primary aim is to examine whether US macroeconomic surprises affect the slope of the term structure of ‘sovereign credit default swap’ (SCDS) spreads in emerging markets. Our empirical results show that positive (negative) US macroeconomic surprises are likely to reduce (increase) the term structure slope of SCDS spreads in emerging countries. We find that the slope values in emerging markets are positively related to future market returns over 1‐ and 2‐day horizons. Our results provide general support for the future informational role played by SCDS spreads for the national stock market within emerging markets.

Work‐from‐home and the risk of securities misconduct

“…The global Covid pandemic increased market risk (Ammann & Moerke, 2022; Battauz et al, 2021; Cai et al, 2022; Chiu et al, 2023; Kind et al, 2022), reconfigured how and where employees performed their work (Gregg et al, 2022), and did this at an extreme intensity (Adams‐Prassl et al, 2022). Although work‐from‐home is now seen as a permanent part of business life (Barrero et al, 2021), an online workforce raises issues that do not yet have solutions (Nyberg et al, 2021).…”