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Eaton, Jonathan - 2010

We review the literature on sovereign debt. We organize our survey around three central questions: (1) Why do sovereign debtors ever repay their debts? (2) What burdens, in the form of distortions and inefficiencies, does sovereign debt impose? and (3) How might debt be restructured to reduce...

Persistent link: https://www.econbiz.de/10012763742

Quantitative Sovereign Default Models and the European Debt Crisis

Bocola, Luigi - 2018

A large literature has developed quantitative versions of the Eaton and Gersovitz (1981) model to analyze default episodes on external debt. In this paper, we study whether the same framework can be applied to the analysis of debt crises in which domestic public debt plays a prominent role. We...

Persistent link: https://www.econbiz.de/10012911701

Monetary Independence and Rollover Crises

Bianchi, Javier - 2018

a severe recession in the event of a liquidity crisis, and are therefore more prone to run on government bonds. In a …

Persistent link: https://www.econbiz.de/10012906779

Internal Debt Crises and Sovereign Defaults

Arellano, Cristina - 2010

In this paper, we use data from developing countries to argue that sovereign defaults are often caused by fiscal pressures generated by large-scale domestic defaults. We argue that these systemic domestic defaults are caused by shocks best interpreted as being non-fundamental. We construct a...

Persistent link: https://www.econbiz.de/10012759536

Liquidity and Exchange Rates : An Empirical Investigation

Engel, Charles M. - 2018

important innovation is that we include the liquidity yield on government bonds as an explanatory variable. We find impressive … evidence that changes in the liquidity yield are significant in explaining exchange rate changes for all of the G10 countries …. Moreover, after controlling for liquidity yields, traditional determinants of exchange rates – adjustment toward purchasing …

Persistent link: https://www.econbiz.de/10012906303

Systemic and Idiosyncratic Sovereign Debt Crises

Kaminsky, Graciela - 2014

liquidity and the growth slowdown in the financial centers are at their core. These global shocks trigger longer default spells …

Persistent link: https://www.econbiz.de/10013055500

History Remembered : Optimal Sovereign Default on Domestic and External Debt

D'Erasmo, Pablo - 2018

creditors by balancing distributional incentives v. the social value of debt for self-insurance, liquidity, and risk-sharing. A …

Persistent link: https://www.econbiz.de/10012910653

Take the Short Route : Equilibrium Default and Debt Maturity

Aguiar, Mark - 2016

We study the interactions between sovereign debt default and maturity choice in a setting with limited commitment for repayment as well as future debt issuances. Our main finding is that under a wide range of conditions the sovereign should, as long as default is not preferable, remain passive...

Persistent link: https://www.econbiz.de/10012978844

Fiscal Rules and Sovereign Default

Alfaro, Laura - 2017

Recurrent concerns over debt sustainability in emerging and developed nations have prompted renewed debate on the role of fiscal rules. Their optimality, however, remains unclear. We provide a quantitative analysis of fiscal rules in a standard model of sovereign debt accumulation and default...

Persistent link: https://www.econbiz.de/10012957369

The Costs of Sovereign Default : Evidence from Argentina

Hebert, Benjamin - 2016

We estimate the causal effect of sovereign default on the equity returns of Argentine firms. We identify this effect by exploiting changes in the probability of Argentine sovereign default induced by legal rulings in the case of Republic of Argentina v. NML Capital. We find that a 10% increase...

Persistent link: https://www.econbiz.de/10012991683

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