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Sovereign default risk with heterogenous borrowers [PDF]

, 2006
We study a standard quantitative model of sovereign default in which the government in a small open economy (SMO) decides how much to save and whether to default on its debt. In contrast with previous quantitative studies, we do not assume that a defaulting country is exogenously excluded from capital markets, and we assume that political parties with ...
Juan Carlos Hatchondo, Leonardo Martinez, Horacio Sapriza   +2 more
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News-Implied Sovereign Default Risk

SSRN Electronic Journal, 2021
Chukwuma Dim, Kevin Koerner, Marcin Wolski, Sanne Zwart   +3 more
openaire   +1 more source

Fiscal limits and sovereign default risk in Japan

Journal of the Japanese and International Economies, 2015
Abstract It is widely known that Japan has the highest debt-to-GDP ratio among OECD countries. If Japan’s national debt continues to balloon, fiscal crisis may occur in the future. This paper develops a closed economy model with defaultable government debt and conducts a simulation to investigate future sovereign debt risk.
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Debt dilution and sovereign default risk

2012
We measure the effects of debt dilution on sovereign default risk and show how these effects can be mitigated with debt contracts promising borrowing-contingent payments. First, we calibrate a baseline model à la Eaton and Gersovitz (1981) to match features of the data. In this model, bonds' values can be diluted.
Juan Carlos Hatchondo, Leonardo Martinez
openaire   +1 more source

How fiscal rules can reduce sovereign debt default risk

Emerging Markets Review, 2022
Jose Eduardo Gomez-Gonzalez
exaly  

Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps

Journal of Financial Stability, 2022
Jean Helwege, Gaiyan Zhang
exaly  

Interest rate uncertainty and sovereign default risk

Journal of International Economics, 2022
Cesar Sosa Padilla
exaly  

Sovereign default risk and decentralization: Evidence for emerging markets

European Journal of Political Economy, 2013
Stefan Eichler
exaly  

Sovereign Default Risk and Banks in a Monetary Union

German Economic Review, 2014
Harald Uhlig
exaly  

Endogenous political turnover and fluctuations in sovereign default risk

Journal of International Economics, 2019
Satyajit Chatterjee
exaly