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Arellano, Cristina - 2015

The recent debt crises in Europe and the U.S. states feature similar sharp increases in spreads on government debt but also show important differences. In Europe, the crisis occurred at high government indebtedness levels and had spillovers to the private sector. In the United States, state...

Persistent link: https://www.econbiz.de/10012457212

Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis

Aizenman, Joshua - 2013

This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and … spreads shifted markedly between the pre-crisis and crisis periods. European countries had quite similar CDS responses to … now highly-sensitive GIIPS group and other European country groupings (EU and Euro Area excluding GIIPS, and the non …

Persistent link: https://www.econbiz.de/10012459536

Contagion in the European Sovereign Debt Crisis

Glover, Brent - 2014

among thirteen European sovereigns from 2005 to 2011. Simulations from the estimated model show that a sovereign default …

Persistent link: https://www.econbiz.de/10012458098

Internal Debt Crises and Sovereign Defaults

Arellano, Cristina - 2008

In this paper, we use data from developing countries to argue that sovereign defaults are often caused by fiscal pressures generated by large-scale domestic defaults. We argue that these systemic domestic defaults are caused by shocks best interpreted as being non-fundamental. We construct a...

Persistent link: https://www.econbiz.de/10012464852

A Surplus of Ambition : Can Europe Rely on Large Primary Surpluses to Solve its Debt Problem?

Eichengreen, Barry - 2014

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

The Economics of Sovereign Debt, Bailouts and the Eurozone Crisis

Gourinchas, Pierre-Olivier - 2020

Despite a formal 'no-bailout clause', we estimate significant net present value transfers from the European Union to … recent Eurozone crisis. We propose a model to analyze and understand bailouts in a monetary union, and the large observed …

Persistent link: https://www.econbiz.de/10012481598

Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis

Beltratti, Andrea - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on …

Persistent link: https://www.econbiz.de/10012457516

A Brazilian-Type Debt Crisis : Simple Analytics

Razin, Assaf - 2003

We develop a model that captures important features of debt crises of the Brazilian type. Its applicability to Brazil lies in the fact that (1) macro fundamentals were sound in the wake of the crisis (e .g., a non-negligible primary surplus, a relatively low debt/GDP ratio, low inflation, etc.);...

Persistent link: https://www.econbiz.de/10012469092

Quantitative Models of Sovereign Debt Crises

Aguiar, Mark - 2016

This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the...

Persistent link: https://www.econbiz.de/10012456549

Monetary Policy and Debt Fragility

Camous, Antoine - 2014

The valuation of government debt is subject to strategic uncertainty, stemming from investors' sentiments. Pessimistic lenders, fearing default, bid down the price of debt. This leaves a government with a higher debt burden, increasing the likelihood of default and thus confirming the pessimism...

Persistent link: https://www.econbiz.de/10012458015