This study examines the determinants of sovereign risk, focusing on the impact of geopolitical risk in emerging market economies (EMEs) sovereign risk metrics. Using local projection techniques, we evaluate the effects of geopolitical risk on sovereign credit default swaps (SCDS) and emerging market bond indexes (EMBI) in EMEs, including the recent war between Ukraine and Russia. Our findings highlight the significance of considering geopolitical risk when analyzing risk premiums for emerging markets. Notably, we find that the impact of geopolitical risk shocks on SCDS is higher than the effect on EMBI spread dynamics […]