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Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - C.E.P.R. Discussion Papers - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10011084312
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Banks, Government Bonds, and Default: What do the Data Say?
Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano - C.E.P.R. Discussion Papers - 2014
We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks...
Persistent link: https://www.econbiz.de/10011083481
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Sovereign Default, Domestic Banks and Financial Institutions
Gennaioli, Nicola; Martin, Alberto; Rossi, Stefano - C.E.P.R. Discussion Papers - 2010
We build a model where sovereign defaults weaken banks’ balance sheets because banks hold sovereign bonds, causing private credit to decline. Stronger financial institutions boost default costs by amplifying these balance-sheet effects. This yields a novel complementarity between public debt...
Persistent link: https://www.econbiz.de/10008466349
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Caveat Emptor: Coping With Sovereign Risk Without the Multilaterals
Flandreau, Marc - C.E.P.R. Discussion Papers - 1998
This paper studies how private banks dealt with sovereign risk before World War I. At that time there was no … period into the largest international bank in a country that was the second largest world creditor. In 1871, Crédit Lyonnais … it operated before World War I: given the prominence of Crédit Lyonnais on the international scene, its perceptions …
Persistent link: https://www.econbiz.de/10005656319
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Why do governments default, and why don't they default more often?
Buiter, Willem H.; Rahbari, Ebrahim - C.E.P.R. Discussion Papers - 2013
This paper considers the economic and political drivers of sovereign default, focusing on countries rich enough to render sovereign default a ‘won’t pay’ rather than a ‘can’t pay’ phenomenon. Unlike many private contracts, sovereign debt contracts rely almost exclusively on...
Persistent link: https://www.econbiz.de/10011084128
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Sovereign Default Risk and Bank Fragility in Financially Integrated Economies
Bolton, Patrick; Jeanne, Olivier - C.E.P.R. Discussion Papers - 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/10009003147
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External Liabilities and Crises
Catão, Luis A. V.; Milesi-Ferretti, Gian Maria - C.E.P.R. Discussion Papers - 2014
We examine the determinants of external crises, focusing on the role of foreign liabilities and their composition. Using a variety of statistical tools and comprehensive data spanning 1970-2011, we find that the ratio of net foreign liabilities to GDP is a significant crisis predictor. This is...
Persistent link: https://www.econbiz.de/10011083620
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The Pricing of Sovereign Risk and Contagion during the European Sovereign Debt Crisis
Beirne, John; Fratzscher, Marcel - C.E.P.R. Discussion Papers - 2012
The paper analyses the drivers of sovereign risk for 31 advanced and emerging economies during the European sovereign debt crisis. It shows that a deterioration in countries’ fundamentals and fundamentals contagion – a sharp rise in the sensitivity of financial markets to fundamentals –...
Persistent link: https://www.econbiz.de/10011084109
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Terms of Trade Shocks in an Intertemporal Model: Should We Worry about the Dutch Disease or Excessive Borrowing?
Kuralbayeva, Karlygash; Vines, David - C.E.P.R. Discussion Papers - 2006
This paper analyzes the impact of terms of trade and risk-premium shocks on a small open economy in an intertemporal, Dutch disease model, with international capital mobility. It is shown that when the economy experiences a permanent improvement in the terms of trade, the Dutch disease effect...
Persistent link: https://www.econbiz.de/10005504657
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International Debt Deleveraging
Fornaro, Luca - C.E.P.R. Discussion Papers - 2015
an episode of international deleveraging, world consumption demand is depressed and the world interest rate is low …
Persistent link: https://www.econbiz.de/10011196040