"一带一路"沿线国家制度环境对主权信用风险影响的实证分析OACHSSCD

Using the data from 34 countries along the Belt and Road Initiative(BRI),this paper constructs the regression model for the sovereign credit risk and applies the 5-year sovereign credit default swap(CDS)spread as a measure of the sovereign credit risk to systematically analyze the impact of the institutional environment on the sovereign credit risk.Based on the OLS regression and quantile regression,the empirical analysis shows that the institutional environment has a significantly negative effect on the sovereign credit risk in the countries along the Belt and Road Initiative.This negative effect is more pronounced for the sovereign credit risk at higher quantiles.Heterogeneity analysis shows that the negative impact of the institutional environment on the sovereign credit risk is stronger for low-income countries and during economic recession period.Compared to European countries,the institutional environment has a more significant effect on the sovereign credit risk in Asian and African countries.In the robustness tests,the sovereign credit risk is characterized by multi-term sovereign CDS spreads and sovereign credit ratings.And the empirical results from a variety of regression models which incorporate sub-indicators of the institutional environment,internal and external conflict factors,and the construction of different forecasting horizons consistently demonstrate a significantly negative impact of the institutional environment on the sovereign credit risk.