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Interest Rate Uncertainty and Sovereign Default Risk
Johri, Alok - 2020
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...
Persistent link: https://www.econbiz.de/10012481187
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Reputation and Sovereign Default
Amador, Manuel - 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 optimizing type, which can default at any time, and assume outside lenders have...
Persistent link: https://www.econbiz.de/10012453038
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Monetary Policy and Sovereign Risk in Emerging Economies (NK-Default)
Arellano, Cristina - 2020
This paper develops a New Keynesian model with sovereign default risk (NK-Default). We focus on the interaction between monetary policy, conducted according to an interest rate rule that targets inflation, and external defaultable debt issued by the government. Monetary policy and default risk...
Persistent link: https://www.econbiz.de/10012479195
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Serial Default and the "Paradox" of Rich to Poor Capital Flows
Reinhart, Carmen M. - 2004
Lucas (1990) argued that it was a paradox that more capital does not flow from rich countries to poor countries. He rejected the standard explanation of expropriation risk and argued that paucity of capital flows to poor countries must instead be rooted in externalities in human capital...
Persistent link: https://www.econbiz.de/10012468398
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Default, Currency Crises and Sovereign Credit Ratings
Reinhart, Carmen M. - 2002
Sovereign credit ratings play an important role in determining the terms and the extent to which countries have access to international capital markets. In principle, there is no reason why changes in sovereign credit ratings should be expected to systematically predict a currency crisis. In...
Persistent link: https://www.econbiz.de/10012469977
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Sovereign Debt
Eaton, Jonathan - 1995
We review the literature on sovereign debt. We organize our survey around three central questions: (1) Why do sovereign debtors ever repay their debts? (2) What burdens, in the form of distortions and inefficiencies, does sovereign debt impose? and (3) How might debt be restructured to reduce...
Persistent link: https://www.econbiz.de/10012473755
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Natural Resources and Sovereign Risk in Emerging Economies : A Curse and a Blessing
Hamann, Franz; Mendez-Vizcaino, Juan Camilo; Mendoza, … - National Bureau of Economic Research - 2023
Emerging economies that are large oil producers have sizable external debt, their country risk rises when oil prices fall, and several of them have defaulted at least once since 1979. Moreover, while oil and non-oil output reduce country risk on impact and in the long-run, oil reserves reduce it...
Persistent link: https://www.econbiz.de/10014247980
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Partial Default
Arellano, Cristina - 2019
initially increase and do not experience reductions upon resolution. This paper presents a theory of sovereign default that … replicates these properties, which are absent in standard sovereign default theory. Partial default is a flexible way to raise … as the defaulted debt accumulates and interest rate spreads increase. This theory is capable of rationalizing the large …
Persistent link: https://www.econbiz.de/10012480023
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Quantitative Sovereign Default Models and the European Debt Crisis
Bocola, Luigi - 2018
A large literature has developed quantitative versions of the Eaton and Gersovitz (1981) model to analyze default episodes on external debt. In this paper, we study whether the same framework can be applied to the analysis of debt crises in which domestic public debt plays a prominent role. We...
Persistent link: https://www.econbiz.de/10012480634
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Liquidity and Exchange Rates : An Empirical Investigation
Engel, Charles - 2018
We find strong empirical evidence that economic fundamentals can well account for nominal exchange rate movements. The important innovation is that we include the liquidity yield on government bonds as an explanatory variable. We find impressive evidence that changes in the liquidity yield are...
Persistent link: https://www.econbiz.de/10012481044