International data suggests that fluctuations in the level and volatility of the world interest rate (as measured by … economies. We incorporate an estimated time-varying process for the world interest rate into a model of sovereign default … calibrated to a panel of emerging economies. Time variation in the world interest rate interacts with default incentives in the …

When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If … asset sales occur at depressed prices, then one bank's sales may impact other banks with common exposures, resulting in … explains how the distribution of bank leverage and risk exposures contributes to a form of systemic risk. We compute bank …