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Sovereign default network and currency risk premia [PDF]
Financial Innovation, 2023 We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.
Lu Yang, Lei Yang, Xue Cui
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Optimal Sovereign Default [PDF]
American Economic Journal: Macroeconomics, 2016 When is it optimal for a fully committed government to default on its legal repayment obligations? Considering a small open economy with domestic production risk and noncontingent government debt, we show that it is ex ante optimal to occasionally deviate from the legal repayment obligation and to repay debt only partially.
Klaus Adam, Michael Grill
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African sovereign risk premia and international market assets: A relook under the COVID-19 outbreak [PDF]
HeliyonUsing the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023.
Godfred Amewu +2 more
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GDP-Linked Bonds and Sovereign Default [PDF]
SSRN Electronic Journal, 2014 In this paper we explore the ways in which GDP-linked bonds can stabilize sovereign debt dynamics and reduce the probability of default. GDP-linked bonds provide cash payments that vary positively with the level of GDP, thereby helping to stabilize the debt-to-GDP ratio.
David Barr, Oliver Bush, Alex Pienkowski
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Review of International Political Economy, 2021 Scholars continue to debate why states repay their debts to foreign creditors. The existing literature stresses the short-term economic and political costs that deter default, focusing on reputational damage, creditor reprisals, spillover costs, and loss of office.
David James Gill
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Tax Revolts and Sovereign Defaults [PDF]
SSRN Electronic JournalPolitical crises often coincide with fiscal crises, with complex causal dynamics at play. We examine the interaction between tax revolts and sovereign risk using a quantitative structural model calibrated to Argentina. In the model, the government can be controlled by political parties with different preferences for redistribution.
Fernando Arce +2 more
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Political Constraints and Sovereign Default [PDF]
SSRN Electronic Journal, 2022 Marina Azzimonti, Nirvana Mitra
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Repudiation and Repression: The Human Costs of Sovereign Default
Social Sciences, 2023 Sovereign default has myriad economic and political consequences. Existing research, however, has not explored the human costs of sovereign default, though some link the fiscal flexibility afforded by sovereign creditworthiness to improved human rights ...
Stephen Bagwell
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Journal of Economic Theory, 2018 The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.
Ayres, João +3 more
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Reputation and Sovereign Default [PDF]
Econometrica, 2018 This paper presents a continuous‐time model of sovereign debt. In it, a relatively impatient sovereign government's hidden type switches back and forth between a commitment type, which cannot default, and an opportunistic type, which can, and where we assume outside lenders have particular beliefs regarding how a commitment type should borrow for any ...
Amador, Manuel, Phelan, Christopher
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