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Reserve Accumulation, Macroeconomic Stabilization, and Sovereign Risk
Bianchi, Javier - 2020
In the past three decades, governments in emerging markets have accumulated large amounts of international reserves, especially those with fixed exchange rates. We propose a theory of reserve accumulation that can account for these facts. Using a model of endogenous sovereign default with...
Persistent link: https://www.econbiz.de/10012481517
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Fundamentals and Sovereign Risk of Emerging Markets
Aizenman, Joshua - 2013
-2009. Inflation, state fragility, external debt, and commodity terms of trade volatility were positively associated, while trade … importance of economic fundamentals in the pricing of sovereign risk varies over time. The key factors are trade openness and …, and this gap widened during and after the crisis. Trade openness was the biggest factor behind Asia's lower sovereign …
Persistent link: https://www.econbiz.de/10012459699
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When Is There a Strong Transfer Risk from the Sovereigns to the Corporates? Property Rights Gaps and CDS Spreads
Bai, Jennie - 2012
When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason for why international investment in private companies has to take into account the sovereign risk. But the likelihood of a transfer from the sovereign risk to corporate...
Persistent link: https://www.econbiz.de/10012460062
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Vulnerable Banks
Greenwood, Robin - 2012
When a bank experiences a negative shock to its equity, one way to return to target leverage is to sell assets. If …
Persistent link: https://www.econbiz.de/10012460123
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Reserve Uncertainty and the Supply of International Credit
Aizenman, Joshua - 1999
This paper examines how increased uncertainty about an emerging market's international reserves affects the willingness of foreign investors to supply international credits. We illustrate the relevance of this concern for South Korea during the recent financial crisis. Using available...
Persistent link: https://www.econbiz.de/10012471586
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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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Fiscal Stimulus under Sovereign Risk
Bianchi, Javier - 2019
The excess procyclicality of fiscal policy is commonly viewed as a central malaise in emerging economies. We document that procyclicality is more pervasive in countries with higher sovereign risk and provide a model of optimal fiscal policy with nominal rigidities and endogenous sovereign...
Persistent link: https://www.econbiz.de/10012480252
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Financial Vulnerability and Risks to Growth in Emerging Markets
Acharya, Viral V. - 2020
capturing macro-financial vulnerability and stress compared to those based on information in trade and global factors. Our index …
Persistent link: https://www.econbiz.de/10012481606
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Business Cycles in Emerging Economies : The Role of Interest Rates
Neumeyer, Pablo A. - 2004
We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy,...
Persistent link: https://www.econbiz.de/10012468306
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A Risk Management Approach to Emerging Market's Sovereign Debt Sustainability with an Application to Brazilian Data
Garcia, Marcio - 2004
In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...
Persistent link: https://www.econbiz.de/10012468356