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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
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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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Crisis Resolution : Next Steps
Eichengreen, Barry - 2003
At the April 2003 meeting of the International Monetary and Financial Committees, it was decided to further encourage the contractual approach to smoothing the process of sovereign debt restructuring by encouraging the more widespread use of collective action clauses (CACs) in international...
Persistent link: https://www.econbiz.de/10012468599
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Sovereign Debt and Consumption Smoothing
Grossman, Herschel I. - 1997
This paper shows that whether or not a sovereign can borrow to smooth consumption depends both on how consumption smoothing is achieved, whether by contingent debt issuance or by contingent debt servicing, and on the exact nature of the penalty for debt repudiation. If a sovereign that...
Persistent link: https://www.econbiz.de/10012472821
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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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Fiscal Rules and Sovereign Default
Alfaro, Laura - 2017
Recurrent concerns over debt sustainability in emerging and developed nations have prompted renewed debate on the role of fiscal rules. Their optimality, however, remains unclear. We provide a quantitative analysis of fiscal rules in a standard model of sovereign debt accumulation and default...
Persistent link: https://www.econbiz.de/10012455311
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Take the Short Route : Equilibrium Default and Debt Maturity
Aguiar, Mark - 2016
We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that under a wide range of conditions the sovereign should, as long as default is not preferable, remain passive...
Persistent link: https://www.econbiz.de/10012455833
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Optimal Domestic (and External) Sovereign Default
D'Erasmo, Pablo - 2016
Infrequent but turbulent episodes of outright sovereign default on domestic creditors are considered a "forgotten history" in Macroeconomics. We propose a heterogeneous-agents model in which optimal debt and default on domestic and foreign creditors are driven by distributional incentives and...
Persistent link: https://www.econbiz.de/10012456169