Results 11 to 20 of about 5,726,311 (302)
"Migration and sovereign default risk" a comment. [PDF]
J Monet Econ, 2020 Guerron-Quintana PA.
europepmc +3 more sources
SOVEREIGN DEFAULT RISK AND DEPOSITOR BEHAVIOR. THE CASE OF GREECE
Revista de Economía Política de Buenos Aires, 2014 This paper studies the effect of the Greek macroeconomic crisis on depositors’ behavior. It tests the main hypothesis during that period depositors react more to sovereign risk than to the idiosyncratic indicators of bank health.
Julieta Picorelli
doaj +2 more sources
Debt Dilution and Sovereign Default Risk [PDF]
IMF Working Papers, 2011 We propose a modification to a baseline sovereign default framework that allows us to quantify the importance of debt dilution in accounting for the level and volatility of the interest rate spread paid by sovereigns. We measure the effects of debt dilution by comparing the simulations of the baseline model (with debt dilution) with the ones of the ...
Juan Carlos Hatchondo +2 more
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Sovereign Default Risk and Uncertainty Premia [PDF]
American Economic Journal: Macroeconomics, 2015 This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the probability model of the underlying state of the borrowing economy is misspecified.
Ignacio Presno, Demian Pouzo
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Fiscal commitment and sovereign default risk [PDF]
Review of Economic Dynamics, 2018 Abstract This paper studies the interaction between fiscal commitment and sovereign default risk in a model with optimal taxation and government spending. A time-inconsistency problem arises in our framework as the government cannot credibly commit to its future tax policies.
Siming Liu, Hewei Shen
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The “forward premium puzzle” and the sovereign default risk [PDF]
Journal of International Money and Finance, 2013 Carry-trade strategies which consist of buying forward high-yield currencies tend to yield positive excess returns when global financial markets are booming, whereas they generate losses during crises. Firstly, we show that the sovereign default risk, which is taken on by investing in high-yield currencies, may increase the magnitude of the gains ...
Coudert, Virginie, Mignon, Valérie
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Estimating Sovereign Default Risk [PDF]
American Economic Review, 2012 This paper uses Bayesian methods to estimate the sovereign default probability for Greece and Italy in the post-EMU period. We build a real business cycle model that allows for interactions among fiscal policy instruments, sovereign default risk, and a “fiscal limit,” which measures the maximum level of debt the government is willing to finance.
Huixin Bi, Nora Traum
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Non-Defaultable Debt and Sovereign Risk
IMF Working Papers, 2014 We quantify gains from introducing non-defaultable debt as a limited additional financing option into a model of equilibrium sovereign risk. We find that, for an initial (defaultable) sovereign debt level equal to 66 percent of trend aggregate income and a sovereign spread of 2.9 percent, introducing the possibility of issuing non-defaultable debt for ...
Juan Carlos Hatchondo +2 more
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Interest Rate Uncertainty and Sovereign Default Risk [PDF]
SSRN Electronic Journal, 2018 International data suggests that fluctuations in the level and volatility of the world interest rate (as measured by the US treasury bill rate) are positively correlated with both the level and volatility of sovereign spreads in emerging economies. We incorporate an estimated time-varying process for the world interest rate into a model of sovereign ...
Alok Johri +2 more
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Conditional Euro Area Sovereign Default Risk [PDF]
Journal of Business & Economic Statistics, 2013 We propose an empirical framework to assess the likelihood of joint and conditional sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t distribution that captures all salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection against sovereign default, as well as dynamic ...
André Lucas, Bernd Schwaab, Xin Zhang
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