We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under … uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a … debt issuance. Intuitively, the Sovereign chooses a portfolio implying a risk of default because this risk generates a …

the sovereign spread within five years of market re-entry; (iii) the DP rises with market exclusion spells. These findings …We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on … the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a “default premium” (DP) that …

increase in sovereign's default risk affects financial intermediaries through two channels in this model. First, banks' funding …

sovereign bonds during 32 crises since 1998, taking into account losses from bond exchanges as wellas profits before and after …Sovereign debt restructurings are perceived as inflicting large losses to bondholders.However, many bonds feature high …

Is the seniority structure of sovereign debt neutral for a government's decision betweendefaulting and raising … becomesufficiently large, default costs on senior debt transpire into a stronger commitment to repaynot only the senior tranche, but also … the junior one. We show that there is a lower thresholdfor senior bonds above which tranching can eliminate default on …

issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that … for the commonly used threshold state-contingent bond structure (e.g., the GDP-linked bond issued by Argentina in 2005 …), the model with robustness generates ambiguity premia in bond spreads that can explain most of what the literature has …

The sovereign debt crisis in Europe has highlighted the role of country risk premia as a link between countries' fiscal …

The sovereign debt crisis in Europe has highlighted the role of country risk premia as a link between countries' fiscal …