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Debt as Safe Asset
Brunnermeier, Markus K.; Merkel, Sebastian; Sannikov, Yuliy - 2022
, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers … idiosyncratic risk rises during recessions, so does the value of the service flows bestowing the safe asset with a negative ß. This …
Persistent link: https://www.econbiz.de/10013308246
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What Went Wrong? : The Puerto Rican Debt Crisis, the 'Treasury Put,' and the Failure of Market Discipline
Chirinko, Robert S. - 2019
risk premium, even though the macroeconomic fundamentals were dismal? Why did financial markets fail to exercise market … discipline and restrict capital flows to Puerto Rico? Given gloomy macroeconomic fundamentals and relatively low risk premia … cases, with the exact same maturity. The associated bond price data allow for an accurate computation of the risk premia on …
Persistent link: https://www.econbiz.de/10012890192
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How to Handle the Fiscal Crisis in Greece? Empirical Evidence Based on a Survey of Economic Experts
Potrafke, Niklas - 2019
We asked economic experts polled by the CESifo World Economic Survey how to handle the fiscal crisis in Greece in the …
Persistent link: https://www.econbiz.de/10012864937
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Uncertainty Shocks and Financial Crisis Indicators
Hristov, Nikolay - 2019
The current paper broadens the understanding of the role played by uncertainty in the context of macroeconomic fluctuations. It focuses on the implications of uncertainty shocks for indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area...
Persistent link: https://www.econbiz.de/10012861435
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Uncertainty and Monetary Policy During the Great Recession
Pellegrino, Giovanni; Castelnuovo, Efrem; Caggiano, Giovanni - 2021
We employ a nonlinear VAR framework and a state-of-the-art identification strategy to document the large response of real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this evidence with an estimated DSGE framework featuring a concept...
Persistent link: https://www.econbiz.de/10013235107
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Compliance Effects of Sovereign Debt Cuts
Janeba, Eckhard - 2019
The controversy about sovereign debt cuts loomed prominently throughout crisis in the European Union (EU), as the EU legal rules were viewed to impose strict limitations on debt restructuring involving public creditors due to moral hazard concerns enshrined in the legal ban on bailouts. This...
Persistent link: https://www.econbiz.de/10012866369
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Sovereign Debt in the 21st Century : Looking Backward, Looking Forward
Mitchener, Kris James; Trebesch, Christoph - 2021
advanced economies; (ii) a bank-sovereign “doom-loop” and the propagation of sovereign risk to households and firms; (iii) roll …
Persistent link: https://www.econbiz.de/10013237219
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Currency Concentration in Sovereign Debt, Exchange Rate Cyclicality, and Volatility in Consumption
Fujii, Eiji - 2022
For emerging economies, borrowing abroad is a double-edged sword: it can buffer against adverse economic shocks and smooth their domestic consumption; however, it can also amplify volatility in consumption, depending on the currency in which the debt is denominated and cyclicality in the...
Persistent link: https://www.econbiz.de/10014241998
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Economic Policy Uncertainty : Persistence and Cross-Country Linkages
Aikins Abakah, Emmanuel Joel - 2020
This paper provides new evidence on the stochastic behaviour of the EPU (Economic Policy Uncertainty (EPU) index constructed by Baker et al. (2016) in six of the biggest economies (Canada, France, Japan, US, Ireland, and Sweden) over the period from January 1985 to October 2019. In particular,...
Persistent link: https://www.econbiz.de/10012833734
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The Global Effects of COVID-19-Induced Uncertainty
Caggiano, Giovanni - 2020
We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world … outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14% …
Persistent link: https://www.econbiz.de/10012834352