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Differential treatment in the bond market : sovereign risk and mutual fund portfolios

Converse, Nathan; Mallucci, Enrico - 2019

sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond …

Persistent link: https://www.econbiz.de/10012126135

Natural Disasters, Climate Change, and Sovereign Risk

Mallucci, Enrico - 2020

I investigate how natural disaster can exacerbate fiscal vulnerabilities and trigger sovereign defaults. I extend a standard sovereign default model to include disaster risk and calibrate it to a sample of seven Caribbean countries that are frequently hit by hurricanes. I find that hurricane...

Persistent link: https://www.econbiz.de/10014048827

Sovereign Risk Matters : The Effects of Endogenous Default Risk on the Time-Varying Volatility of Interest Rate Spreads

De Ferra, Sergio; Mallucci, Enrico - 2020

Emerging market interest rate spreads display substantial time-varying volatility. We show that a baseline model with endogenous sovereign default risk can account for such volatility, even in the absence of shocks to the second moments of the exogenous stochastic variables. In particular, the...

Persistent link: https://www.econbiz.de/10014048847

A Solution to the Default Risk-Business Cycle Disconnect

Mendoza, Enrique G. - 2008

Models of business cycles in emerging economies explain the negative correlation between country spreads and output by modeling default risk as an exogenous interest rate on working capital. Models of strategic default explain the cyclical properties of sovereign spreads by assuming an exogenous...

Persistent link: https://www.econbiz.de/10012724621

Sovereign Debt Crises and Credit to the Private Sector

Arteta, Carlos Ó.; Hale, Galina - 2007

We argue that, through its effect on aggregate demand and country risk premia, sovereign debt restructuring can adversely affect the private sector's access to foreign capital markets. Using fixed effect analysis, we estimate that sovereign debt rescheduling episodes are indeed systematically...

Persistent link: https://www.econbiz.de/10014056743

The Stability of Large External Imbalances : The Role of Returns Differentials

Curcuru, Stephanie E.; Dvořák, Tomáš; Warnock, … - 2007

will evolve in a benign manner increases. However, utilizing data on the actual foreign equity and bond portfolios of U ….S. investors and the U.S. equity and bond portfolios of foreign investors, we find that the returns differential of U.S. claims … timing of investors from developed countries, who tend to shift their U.S. portfolios toward (or away from) equities prior to …

Persistent link: https://www.econbiz.de/10014051337

Assessing the Potential for Further Foreign Demand for U.S. Assets : Has Financing U.S. Current Account Deficits Made Foreign Investors Overweight in U.S. Securities?

Bertaut, Carol C. - 2008

.S. and other foreign securities in their portfolios in recent years. Based on data from the most recent comprehensive surveys … "location" or "information" preferences in both domestic and international portfolios. As securities markets abroad continue to …

Persistent link: https://www.econbiz.de/10014213321

International Capital Flows and the Return to Safe Assets in the United States, 2003-2007

Bernanke, Ben - 2011

Persistent link: https://www.econbiz.de/10013125323

Decomposing the U.S. External Returns Differential

Curcuru, Stephanie E. - 2010

and equities within their U.S. portfolios. The poor timing of foreign investors-caused primarily by deliberate trading …

Persistent link: https://www.econbiz.de/10013150847

On Returns Differentials

Curcuru, Stephanie E. - 2013

Estimates of U.S. returns differentials have ranged from exorbitant to quite small, in part because of their volatility coupled with the relatively short time series available. We shed light on underlying drivers of returns differentials by presenting a number of decompositions: a by-asset-class...

Persistent link: https://www.econbiz.de/10013083250