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Pasche, Markus - 2018

Persistent link: https://www.econbiz.de/10013459233

Contagion of Sovereign Default Risk: the Role of Two Financial Frictions.

Park, JungJae - Volkswirtschaftliche Fakultät, … - 2013

observe spread of default risk across countries. In a quantitative analysis, the model is calibrated to Greece and Spain, and … predicts (1) that cross-county correlation in sovereign spreads between Greece and Spain increases significantly during a … crisis period, and (2) that Spain’s default rate, conditional on Greece’ default, increases about three times compared to …

Persistent link: https://www.econbiz.de/10011108501

Sovereign Defaults and Banking Crises

Sosa-Padilla, Cesar - Volkswirtschaftliche Fakultät, … - 2012

Episodes of sovereign default feature three key empirical regularities in connection with the banking systems of the countries where they occur: (i) sovereign defaults and banking crises tend to happen together, (ii) commercial banks have substantial holdings of government debt, and (iii)...

Persistent link: https://www.econbiz.de/10011108779

Sovereign Default and Capital Accumulation

Park, JungJae - Volkswirtschaftliche Fakultät, … - 2011

I introduce endogenous capital accumulation into an otherwise standard quantitative sovereign default model in the tradition of Eaton and Gersovitz (1981), and find that conditional on a level of debt, default incentives are U shaped in the capital stock: the economy with too small or too large...

Persistent link: https://www.econbiz.de/10011108820

Serial default and debt renegotiation

Asonuma, Tamon - Volkswirtschaftliche Fakultät, … - 2012

Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same debt-to-GDP ratio. This paper explains this stylized fact within a dynamic stochastic general equilibrium framework by...

Persistent link: https://www.econbiz.de/10011111033

Οι Πτωχεύσεις του Ελληνικού Κράτους

Lefteris, Tsoulfidis - Volkswirtschaftliche Fakultät, … - 2012

This article presents and critically evaluates the Greek sovereign defaults and puts them into historical perspective. More specifically, each of the four defaults of the Greek State (1827, 1843, 1893 and 1932) was not an isolated episode in the turbulent economic history of capitalism, but...

Persistent link: https://www.econbiz.de/10011259342

A Tale of Two Countries: Sovereign Default, Exchange Rate, and Trade

Gu, Grace Weishi - Volkswirtschaftliche Fakultät, … - 2015

This paper explores the impacts of sovereign defaults on trade and income through a real exchange rate channel, in a DSGE model of two risk-averse open economies, with production. In the model, once the borrower country defaults due to an adverse productivity shock, foreign firms reduce their...

Persistent link: https://www.econbiz.de/10011184586

Collective action clauses in sovereign bonds

Häseler, Sönke - Volkswirtschaftliche Fakultät, … - 2011

The universal adoption of collective action clauses (CACs) was the most promising reform proposal in recent debates on sovereign debt crisis management. Academics and the public sector had been promoting CACs since 1995, yet market practice did not begin to change until 2003. This delay is often...

Persistent link: https://www.econbiz.de/10009370814

Default Recovery Rates and Implied Default Probability Estimations: Evidence from the Argentinean Crisis

Sosa Navarro, Ramiro - Volkswirtschaftliche Fakultät, … - 2005

This paper applies the model presented by J. Merrick Jr. (2001) to estimate both the default recovery rates and the implied default probabilities of the Argentinean Sovereign Bonds during the crisis which took place in December 2001. Between October 19th and December 24th 2001, the average bond...

Persistent link: https://www.econbiz.de/10005789364

The Next (but not new) Frontier for Sovereign Default

Reinhart, Carmen - Volkswirtschaftliche Fakultät, … - 2008

There is a view today that “this time it’s different” for emerging markets. Governments are reducing their dependence on external debt and relying more on domestic debt financing for the first time! Furthermore, emerging market governments are increasingly issuing long-term domestic debt....

Persistent link: https://www.econbiz.de/10005835818