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What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk

Aizenman, Joshua; Hutchison, Michael Mercier; Jinjarak, … - National Bureau of Economic Research (NBER) - 2011

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other economic fundamentals over 2005-10. We measure how accurately the model predicts sovereign credit default swap (CDS) spreads, focusing in particular on the five countries in the...

Persistent link: https://www.econbiz.de/10009294566

Macroeconomic Adjustment and the History of Crises in Open Economies

Aizenman, Joshua; Noy, Ilan - National Bureau of Economic Research (NBER) - 2012

This paper investigates the impact of the history of crises on macroeconomic performance. We first study the impact of past banking crises on the probability of a future banking crisis. Applying data for 1980‐2010 for all countries for which the required information is available, controlling...

Persistent link: https://www.econbiz.de/10010969363

Quantifying Productivity Gains from Foreign Investment

Kalemli-Ozcan, Sebnem; Sorensen, Bent E.; Volosovych, Vadym - National Bureau of Economic Research (NBER) - 2013

We quantify the causal effect of foreign investment on total factor productivity (TFP) using a new global firm-level database. Our identification strategy relies on exploiting the difference in the amount of foreign investment by financial and industrial investors and simultaneously controlling...

Persistent link: https://www.econbiz.de/10010969373

China's Growth, Stability, and Use of International Reserves

Aizenman, Joshua; Marion, Nancy P.; Jinjarak, Yothin - National Bureau of Economic Research (NBER) - 2013

Since the onset of the global financial crisis, China and the U.S. have reduced their current-account imbalances as a share of GDP to less than half their pre-crisis levels. For China, the reduction in its current-account surplus post-crisis suggests a structural change. Panel regressions for a...

Persistent link: https://www.econbiz.de/10010969460

Contagion in the European Sovereign Debt Crisis

Glover, Brent; Richards-Shubik, Seth - National Bureau of Economic Research (NBER) - 2014

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/10010950701

The Eurocrisis: Muddling Through, or On the Way to a More Perfect Euro Union?

Aizenman, Joshua - National Bureau of Economic Research (NBER) - 2014

institutions. The euro has operated as a currency without a state, under the dominance of Germany. This has so far allowed the euro … to achieve a number of design objectives, and this may continue, as long as Germany does not shirk its growing … responsibility for the euro's future. Germany's resilience and dominant size within the EU may explain its "muddling …

Persistent link: https://www.econbiz.de/10010950748

International Financial Integration and Crisis Contagion

Devereux, Michael B.; Yu, Changhua - National Bureau of Economic Research (NBER) - 2014

International financial integration helps to diversify risk but also may increase the trans- mission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral con- straints....

Persistent link: https://www.econbiz.de/10010950927

Political Risk Spreads

Bekaert, Geert; Harvey, Campbell; Lundblad, Christian; … - National Bureau of Economic Research (NBER) - 2014

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a country's U.S. dollar debt and an equivalent U.S. Treasury bond. We explain the variation in these sovereign spreads with four factors: global economic conditions,...

Persistent link: https://www.econbiz.de/10010951038

Liquidity and Foreign Asset Management Challenges for Latin American Countries

Aizenman, Joshua; Riera-Crichton, Daniel - National Bureau of Economic Research (NBER) - 2014

We analyze the degree to which the growing importance of sovereign wealth funds [SWFs] and the diffusion of inflation targeting and augmented Taylor rules have impacted the post crisis adjustment of Latin American Countries (LATAM) to the challenges associated with terms of trade and financial...

Persistent link: https://www.econbiz.de/10010951115

Why do emerging markets liberalize capital outflow controls? Fiscal versus net capital flow concerns

Aizenman, Joshua; Pasricha, Gurnain Kaur - National Bureau of Economic Research (NBER) - 2013

In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in the recent decades. Liberalization of capital outflow controls can allow emerging market economies (EMEs) to reduce net capital inflow (NKI) pressures, but...

Persistent link: https://www.econbiz.de/10010951123

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