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Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt
Roch, Francisco; Roldán, Francisco - 2022
We analyze how concerns for model misspecification on the part of international lenders affect the desirability of 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...
Persistent link: https://www.econbiz.de/10014030625
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A Primer on Managing Sovereign Debt-Portfolio Risks
Jonasson, Thordur - 2018
vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …
Persistent link: https://www.econbiz.de/10012918566
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Sovereign Debt Repatriation During Crises
Arslanalp, Serkan; Sunder-Plassmann, Laura - 2022
We use a new, comprehensive data set on the sovereign debt investor base to document three novel empirical facts: (i) sovereign debt is repatriated - that is, shifted from external private to domestic investors - prior to sovereign defaults; (ii) not all crises are equal: evidence for...
Persistent link: https://www.econbiz.de/10013288911
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Debt Crises and the Development of International Capital Markets
Sy, Amadou - 2021
Crises on external sovereign debt are typically defined as defaults. Such a definition accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on bank loans. However, defining defaults as debt crises is problematic for the 1990s, when sovereign bond markets...
Persistent link: https://www.econbiz.de/10013211941
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Anticipating Credit Events Using Credit Default Swaps, with an Application to Sovereign Debt Crises
Chan-Lau, Jorge - 2021
credit default swap prices. An alternative credit risk measure is proposed here: the maximum recovery rate compatible with …
Persistent link: https://www.econbiz.de/10013212320
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Debt Seniority and Sovereign Debt Crises
Ari, Anil - 2018
Is the seniority structure of sovereign debt neutral for a government's decision betweendefaulting and raising surpluses? In this paper, we address this question using a model ofdebt crises where a discretionary government endogenously chooses distortionary taxationand whether to apply an...
Persistent link: https://www.econbiz.de/10012913932
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The Nonlinear Relationship between Public Debt and Sovereign Credit Ratings
Hadzi-Vaskov, Metodij - 2019
This study investigates the nonlinear relationship between public debt and sovereign credit ratings, using a wide sample of over one hundred advanced, emerging, and developing economies. It finds that: i) higher public debt lowers the probability of being placed in a higher rating category; ii)...
Persistent link: https://www.econbiz.de/10012864106
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Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco
Ahokpossi, Calixte - 2016
We estimate the latent factors that underlie the dynamics of the sovereign bond yield curve inMorocco during 2004-14 based on the Dynamic Nelson-Siegel model. On this basis, weexplore the interaction between macroeconomic variables and the yield curve, which is ofdirect relevance to...
Persistent link: https://www.econbiz.de/10012977868
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Italian Sovereign Spreads : Their Determinants and Pass-Through to Bank Funding Costs and Lending Conditions
Zoli, Edda - 2013
Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in sovereign spreads affect CDS spreads and bond yields of Italian banks, and are...
Persistent link: https://www.econbiz.de/10013082857
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Sovereign Cocos
Hatchondo, Juan; Martinez, Leonardo; Önder, Yasin Kürşat - 2022
bondholders' risk aversion. We find that in spite of reducing the frequency of defaults triggered by liquidity shocks, introducing … risk more attractive for the government. In contrast, cocos that stipulate debt forgiveness when the government faces the … shock, achieve larger welfare gains by reducing default risk …
Persistent link: https://www.econbiz.de/10013289445