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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
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Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis
Aizenman, Joshua; Hutchison, Michael Mercier; Binici, Mahir - National Bureau of Economic Research (NBER) - 2013
This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...
Persistent link: https://www.econbiz.de/10010950758
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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
, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the "matched" countries in 2010, even allowing …
Persistent link: https://www.econbiz.de/10009294566
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Excessive Volatility in Capital Flows: A Pigouvian Taxation Approach
Jeanne, Olivier; Korinek, Anton - National Bureau of Economic Research (NBER) - 2010
This paper analyzes prudential controls on capital flows to emerging markets from the perspective of a Pigouvian tax that addresses externalities associated with the deleveraging cycle. It presents a model in which restricting capital inflows during boom times reduces the potential outflows...
Persistent link: https://www.econbiz.de/10008625925
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Global retail lending in the aftermath of the US financial crisis: Distinguishing between supply and demand effects
Puri, Manju; Rocholl, Jörg; Steffen, Sascha - National Bureau of Economic Research (NBER) - 2011
This paper examines the broader effects of the US financial crisis on global lending to retail customers. In particular we examine retail bank lending in Germany using a unique data set of German savings banks during the period 2006 through 2008 for which we have the universe of loan...
Persistent link: https://www.econbiz.de/10009001145
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Sovereign Default Risk and Bank Fragility in Financially Integrated Economies
Bolton, Patrick; Jeanne, Olivier - National Bureau of Economic Research (NBER) - 2011
We analyze contagious sovereign debt crises in financially integrated economies. Under financial integration banks optimally diversify their holdings of sovereign debt in an effort to minimize the costs with respect to an individual country's sovereign debt default. While diversification...
Persistent link: https://www.econbiz.de/10008876849
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Gambling for Redemption and Self-Fulfilling Debt Crises
Conesa, Juan Carlos; Kehoe, Timothy J. - National Bureau of Economic Research (NBER) - 2015
We develop a model for analyzing the sovereign debt crises of 2010–2013 in the Eurozone. The government sets its …
Persistent link: https://www.econbiz.de/10011201877
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Is It Too Late to Bail Out the Troubled Countries in the Eurozone?
Conesa, Juan Carlos; Kehoe, Timothy J. - National Bureau of Economic Research (NBER) - 2014
Central Bank, and International Monetary Fund) organize similar bailouts for the troubled countries in the Eurozone? Our … analysis suggests that debt levels are so high that bailouts with penalty interest rates could induce the Eurozone governments … to default rather than reduce their debt. A resumption of economic growth is one of the few ways that the Eurozone crises …
Persistent link: https://www.econbiz.de/10010785585
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Varieties of Sovereign Crises: Latin America 1820-1931
Kaminsky, Graciela Laura; Vega-García, Pablo - National Bureau of Economic Research (NBER) - 2014
The literature on sovereign defaults has focused on adverse shocks to debtors' economies, suggesting that defaults are of an idiosyncratic nature. Still, many of the sovereign crises are of a systemic nature, clustered around panics in the financial centers. Crises in the financial centers are...
Persistent link: https://www.econbiz.de/10010969207
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Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?
Claessens, Stijn; McGuire, Patrick M.; Cerutti, Eugenio - National Bureau of Economic Research (NBER) - 2012
The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data...
Persistent link: https://www.econbiz.de/10010969212