Results 21 to 30 of about 5,650 (310)
The Costs of Sovereign Default: Theory and Empirical Evidence
Economía, 2016 Economic policymakers sometimes perceive a sovereign default as a jump into the unkown. The main piece of information missing is what the costs of the default are going to be.
Guido Sandleris
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OECD Economics Department Working Papers, 2018 This paper provides robust empirical evidence that government effectiveness is a key determinant of sovereign defaults. Government effectiveness is measured by a broad-based perception index of the Worldwide Governance Indicators database (WGI) disseminated by the World Bank.
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Does climate change affect sovereign credit risk? International evidence
Borsa Istanbul Review, 2023 This paper fills a crucial research gap by investigating the connection between climate change and sovereign credit risk. While the economic implications of climate risk have long been acknowledged, limited attention has been given to understanding its ...
Nader Naifar
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Fiscal Rules and the Sovereign Default Premium [PDF]
IMF Working Papers, 2012 We study fiscal rules using a sovereign default model. A debt-brake (spread-brake) rule imposes a ceiling on the fiscal deficit when the sovereign debt (spread) is above a threshold. For our benchmark calibration, similar gains can be achieved with the optimal debt or spread brake.
Juan Carlos Hatchondo +2 more
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Multiplicity in Sovereign Default Models: Calvo Meets Cole-Kehoe [PDF]
, 2023 This paper proposes a model of sovereign default that features interest rate multiplicity driven by rollover risk. Our core mechanism shows that the possibility of a rollover crisis by itself can lead to high interest rates, which in turn reinforces the ...
Inter-American Development Bank
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On the role of financial aid in a default episode
Latin American Economic Review, 2018 Our aim is to explore the role of financial aid in a default episode. To that end, we develop a dynamic stochastic quantitative model of sovereign default featuring fiscal policy, endogenous financial aid and risk-averse foreign lenders.
Gabriel Cuadra +2 more
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Sovereign Defaults: The Role of Volatility
IMF Working Papers, 2002 While the relationship between volatility and credit risk is central to much of the literature on finance and banking, it has been largely neglected in empirical macro studies on sovereign defaults. This paper presents new econometric estimates for a panel of 25 emerging market countries over 1970-2001, breaking down aggregate volatility into its ...
Bennett W Sutton, Luis Catão
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Determinants of sovereign defaults [PDF]
The Quarterly Review of Economics and Finance, 2018 Abstract We study major sovereign defaults from 1970 to 2010 using an advanced duration analysis method. Descriptive analysis of the data indicates a cyclical nature of these defaults over a longer period. Regression results highlight the importance of the international monetary conditions as the volatilities of US treasury bills rates and USD ...
Ghulam, Yaseen, Derber, Julian
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Argentina's default and the lack of dire consequences
Economia Aplicada, 2011 We analyze the 2001 Argentine default on its foreign debt and its consequences in terms of the existing literature on sovereign debt default. It is our purpose to evaluate this experience and to see to what extent the Argentine case requires a re ...
Werner Baer +2 more
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Sovereign defaults and banking crises [PDF]
Journal of Monetary Economics, 2018 Episodes of sovereign default feature three key empirical regularities in connection with the banking systems of the countries where they occur: (i) sovereign defaults and banking crises tend to happen together, (ii) commercial banks have substantial holdings of government debt, and (iii) sovereign defaults result in major contractions ...
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