Showing 1 - 10 of 2,066
We study the dynamic properties of sovereign bonds in emerging markets and their associated risk premiums. We focus on the properties of credit spreads, exchange rates, and their interaction. Relying on the term structure of local currency bonds issued by Asia-Pacific sovereigns, we find that...
Persistent link: https://www.econbiz.de/10012481356
This paper examines the relationship between openness, trade, and migration in the Asia-Pacific region during the post-1970 period. Conventional reduced-form empirical-growth specifications are augmented by an appeal to structural modelling, an extension that reveals a rich set of interactions...
Persistent link: https://www.econbiz.de/10012473599
Persistent link: https://www.econbiz.de/10013480858
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
. Calibrated to Eurozone data, the model is consistent with key long-run and debt-crisis statistics. Defaults are rare (1.2 percent …
Persistent link: https://www.econbiz.de/10012480724
What makes an asset a "safe asset"? We study a model where two countries each issue sovereign bonds to satisfy investors' safe asset demands. The countries differ in the float of their bonds and their resources/fundamentals available to rollover debts. A sovereign's debt is more likely to be...
Persistent link: https://www.econbiz.de/10012456404
We provide a comprehensive account of the dynamics of eurozone countries from 2000 to 2012. We analyze private leverage … government spending, and sudden stops. We then ask how eurozone countries would have fared with different policies. We find that …
Persistent link: https://www.econbiz.de/10012458093
We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...
Persistent link: https://www.econbiz.de/10012458098
IMF forecasts and the EU's Fiscal Compact foresee Europe's heavily indebted countries running primary budget surpluses of as much as 5 percent of GDP for as long as 10 years in order to maintain debt sustainability and bring their debt/GDP ratios down to the Compact's 60 percent target. We show...
Persistent link: https://www.econbiz.de/10012458350
Using a variance decomposition of shocks to GDP, we quantify the role of international factor income, international transfers, and saving in achieving risk sharing during the recent European crisis. We focus on the sub-periods 1990-2007, 2008-2009, and 2010 and consider separately the European...
Persistent link: https://www.econbiz.de/10012458750