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Default risk premia on government bonds in a quantitative macroeconomic model

Juessen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009

Persistent link: https://www.econbiz.de/10003913174

Default risk premia on government bonds in a quantitative macroeconomic model

Jüßen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009

This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the...

Persistent link: https://www.econbiz.de/10011379436

Fiscal deficits, financial fragility, and the effectiveness of government policies

Kirchner, Markus; Wijnbergen, Sweder van - 2012

Persistent link: https://www.econbiz.de/10010191012

Long-term government debt, financial fragility and sovereign default risk

Kwaak, Christiaan van der; Wijnbergen, Sweder van - 2013

Persistent link: https://www.econbiz.de/10010191409

Conditional probabilities and contagion measures for Euro area sovereign default risk

Zhang, Xin; Schwaab, Bernd; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720702

Price effects of sovereign debt auctions in the Euro-zone : the role of the crisis

Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - 2013

Persistent link: https://www.econbiz.de/10010191221

The forward premium puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007

of forwards to complete the maturity spectrum at the (multi-) day level. We find that the correlation only slowly turns … negative as the number of days to maturity is increased to the monthly level. The typical shape of the premium correlation with … regard to the forward maturity length appears to be V-shaped. …

Persistent link: https://www.econbiz.de/10011372514

Inflation stabilization, fiscal deficits and public debt management in Poland

Wijnbergen, Sweder van; Budina, Nina - 1999

Poland edged towards hyperinflation towards the latter half of 1989,but inflation fell dramatically after drastic reformswere enacted in January of 1990. We analyse the consistency betweenfiscal deficits and inflation targets and assess Poland's domestic and foreign debt management policies and...

Persistent link: https://www.econbiz.de/10011301167

Inflation stabilization, fiscal deficits and public debt management in Poland

Wijnbergen, Sweder van; Budina, Nina - 1999

Persistent link: https://www.econbiz.de/10001363358

Assessing debt sustainability in a stochastic environment : 200 years of Dutch debt and deficit management

Wijnbergen, Sweder van; France, Alexander - 2012

Persistent link: https://www.econbiz.de/10010191022

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