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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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Stigma or Cushion? IMF Programs and Sovereign Creditworthiness
Gehring, Kai - 2018
IMF programs are often considered to carry a “stigma” that triggers adverse market reactions. We show that such a negative IMF effect disappears when accounting for endogenous selection into programs. To proxy for a country's access to financial markets, we use credit ratings and investor...
Persistent link: https://www.econbiz.de/10012920590
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Domestic Banks as Lightning Rods? Home Bias and Information During the Eurozone Crisis
Saka, Orkun - 2019
, which may have intensified the diabolic loop between sovereign and bank credit risks. By using a novel bank-level dataset …
Persistent link: https://www.econbiz.de/10012859050
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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 … survey points to a growing role of sovereign-bank linkages, legal risks, domestic debt and default, and of official creditors …
Persistent link: https://www.econbiz.de/10013237219
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The Euro Crisis and Economic Growth : A Novel Counterfactual Approach
Terzi, Alessio - 2019
Macroeconomic adjustment in the euro area periphery was more recessionary than pre-crisis imbalances would have warranted. To make this claim, this paper uses a Propensity Score Matching Model to produce counterfactuals for the Eurozone crisis countries (Greece, Portugal, Ireland, Cyprus, Spain)...
Persistent link: https://www.econbiz.de/10012866042
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The Global Financial Cycle and Capital Flow Episodes : A Wobbly Link?
Scheubel, Beatrice - 2019
We add to the literature on the influence of the global financial cycle (GFC) and gyrations in capital flows. First, we build a new measure of the GFC based on a structural factor approach, which incorporates theoretical priors in its definition. This measure can also be decomposed in a...
Persistent link: https://www.econbiz.de/10012858195
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How Do Financial Crises Redistribute Risk?
Mitchener, Kris James; Vossmeyer, Angela - 2023
financial crisis of the 20th century – the Great Depression. Using balance-sheet and systemic risk measures at the bank level …, we build an econometric model with incidental truncation that jointly considers bank survival, the type of bank closure … (consolidations, absorption, and failures), and changes to bank risk. Despite roughly 9,000 bank closures, risk did not leave the …
Persistent link: https://www.econbiz.de/10014345560
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The Countercyclical Capital Buffer and the Composition of Bank Lending
Auer, Raphael - 2019
Do macroprudential regulations on residential lending influence commercial lending behavior too? To answer this question, we identify the compositional changes in banks' supply of credit using the variation in their holdings of residential mortgages on which extra capital requirements were...
Persistent link: https://www.econbiz.de/10012861456
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International Credit Flows and Pecuniary Externalities
Brunnermeier, Markus; Sannikov, Yuliy - 2015
This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too...
Persistent link: https://www.econbiz.de/10010480876