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Contagion in the European Sovereign Debt Crisis
Glover, Brent - 2014
among thirteen European sovereigns from 2005 to 2011. Simulations from the estimated model show that a sovereign default …
Persistent link: https://www.econbiz.de/10013045650
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Credit Ratings and the Pricing of Sovereign Debt During the Euro Crisis
Aizenman, Joshua - 2013
This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and … spreads shifted markedly between the pre-crisis and crisis periods. European countries had quite similar CDS responses to … now highly-sensitive GIIPS group and other European country groupings (EU and Euro Area excluding GIIPS, and the non …
Persistent link: https://www.econbiz.de/10013080412
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Sovereign Debt
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
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External and Public Debt Crises
Arellano, Cristina - 2015
The recent debt crises in Europe and the U.S. states feature similar sharp increases in spreads on government debt but also show important differences. In Europe, the crisis occurred at high government indebtedness levels and had spillovers to the private sector. In the United States, state...
Persistent link: https://www.econbiz.de/10013017501
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A Surplus of Ambition : Can Europe Rely on Large Primary Surpluses to Solve its Debt Problem?
Eichengreen, Barry - 2014
IMF forecasts and the EU's Fiscal Compact foresee Europe's heavily indebted countries running primary budget surpluses of as much as 5 percent of GDP for as long as 10 years in order to maintain debt sustainability and bring their debt/GDP ratios down to the Compact's 60 percent target. We show...
Persistent link: https://www.econbiz.de/10013050287
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Reputation and Sovereign Default
Amador, Manuel; Phelan, Christopher - 2021
This paper presents a continuous-time model of sovereign debt. In it, a relatively impatient sovereign government's hidden type switches back and forth between a commitment type, which cannot default, and an optimizing type, which can default at any time, and assume outside lenders have...
Persistent link: https://www.econbiz.de/10013224123
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Interest Rate Uncertainty and Sovereign Default Risk
Johri, Alok; Khan, Shahed; Sosa‐Padilla, César - 2022
Empirical studies suggest that fluctuations in the level and volatility of the world interest rate (as measured by the US treasury bill rate) affect sovereign spreads in emerging economies. We incorporate an estimated time-varying process for the world interest rate (with both level and...
Persistent link: https://www.econbiz.de/10013405012
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Monetary Policy and Debt Fragility
Camous, Antoine; Cooper, Russell - 2021
The valuation of government debt is subject to strategic uncertainty, stemming from investors' sentiments. Pessimistic lenders, fearing default, bid down the price of debt. This leaves a government with a higher debt burden, increasing the likelihood of default and thus confirming the pessimism...
Persistent link: https://www.econbiz.de/10013224996
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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
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Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default
D'Erasmo, Pablo - 2013
Europe's debt crisis resembles historical episodes of outright default on domestic public debt about which little research exists. This paper proposes a theory of domestic sovereign default based on distributional incentives affecting the welfare of risk-averse debt- and non-debt holders. A...
Persistent link: https://www.econbiz.de/10013075417