Results 21 to 30 of about 5,726,311 (302)
Sovereign Adaptive Risk Modeling and Implications for the Eurozone GREXIT Case
International Journal of Financial Studies, 2018 In the wake of the 2008 financial crisis, the Financial Stability Board (FSB) and the Basel Committee on Banking Supervision (BCBS) created a list of systemically important financial institutions (SIFIs) with the intention of determining which financial ...
Morgan Escalera, Wayne Tarrant
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Sovereign Default Risk and Firm Heterogeneity [PDF]
Journal of the European Economic Association, 2019 Abstract This paper measures the output costs of sovereign risk by combining a sovereign debt model with firm- and bank-level data. An increase in sovereign risk lowers the price of government debt and has an adverse impact on banks’ balance sheets, disrupting their ability to finance firms. The resulting fall in credit supply impacts
Cristina Arellano, Yan Bai, Luigi Bocola
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Sovereign Default Risk, Macroeconomic Fluctuations and Monetary–Fiscal Stabilization [PDF]
IMF Economic Review, 2021 This paper examines the role of sovereign default beliefs for macroeconomic fluctuations and stabilization policy in a small open economy where fiscal solvency is a critical problem. We set up and estimate a DSGE model on Turkish data and show that accounting for sovereign risk significantly improves the fit of the model through an endogenous ...
Kirchner, Markus, Rieth, Malte
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ANALISA SOVEREIGN RISK NEGARA BERKEMBANG: TEMUAN DARI PERILAKU PREMI CREDIT DEFAULT SWAP
Buletin Ekonomi Moneter dan Perbankan, 2011 Persepsi pelaku pasar asing terhadap perekonomian domestik dapat diukur melalui sovereign risk. Risiko ini merupakan hasil evaluasi/assestment lembaga rating mengenai probabilitas suatu entitas berdaulat (negara) akan melakukan wanprestasi terhadap ...
Moch. Doddy Ariefianto +1 more
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Covid-19, sovereign risk and monetary policy: Evidence from the European Monetary Union
Central Bank Review, 2022 This paper investigates the impact of Covid-19 pandemic and monetary policy measures adopted by the European Central Bank (ECB) on the sovereign risk for the European Monetary Union (EMU) countries for the period between March-2020 and November-2020 ...
Seçil Yıldırım Karaman
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Maturity, indebtedness, and default risk [PDF]
We present a novel and tractable model of long-term sovereign debt. We make two sets of contributions. First, on the substantive side, using Argentina as a test case we show that unlike one-period debt models, our model of long-term sovereign debt is ...
Satyajit Chatterjee, Burcu Eyigungor
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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 and private default risks over the business cycle [PDF]
Journal of International Economics, 2020 Abstract Sovereign debt crises are often accompanied by deep recessions with sharp declines in external credit to the private sector. In a sample of emerging economies we find that both, sovereign and private interest rate spreads are countercyclical.
Kaas, Leo, Mellert, Jan, Scholl, Almuth
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Revista de Economía Política de Buenos Aires, 2018 This paper aims to test whether the average sovereign bond spread was statistically different from the average provincial spread in Argentina during 1997-2001, that is if investors perceived that Argentina’s default risk being a federal country should ...
Martín Grandes, Gerardo della Paolera
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Sovereign Default Risk and the US Equity Market [PDF]
SSRN Electronic Journal, 2012 This paper develops a two-country asset pricing model with defaultable firms and governments. This model shows that higher sovereign credit risk in a country depresses equity prices internationally and increases their volatility. The effect is strongest during adverse economic conditions and when firms are close to financial distress.
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