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What is the Risk of European Sovereign Debt Defaults? Fiscal Space, CDS Spreads and Market Pricing of Risk

Aizenman, Joshua; Hutchison, Michael Mercier; Jinjarak, … - National Bureau of Economic Research (NBER) - 2011

, focusing in particular on the five countries in the South-West Eurozone Periphery (Greece, Ireland, Italy, Portugal, and Spain … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …. We find that Eurozone periphery default risk is priced much higher than the "matched" countries in 2010, even allowing …

Persistent link: https://www.econbiz.de/10009294566

Are the Gains from Foreign Diversification Diminishing? Assessing the Impact with Cross-listed Stocks

Lewis, Karen K.; Lai, Sandy - National Bureau of Economic Research (NBER) - 2012

How important is foreign diversification? In this paper, we re-examine this question motivated by findings from the literature about foreign companies that are listed on US exchanges. Specifically, domestic portfolios including cross-listed stocks can provide the same diversification as foreign...

Persistent link: https://www.econbiz.de/10010652305

Bond Market Clienteles, the Yield Curve, and the Optimal Maturity Structure of Government Debt

Vayanos, Dimitri; Guibaud, Stéphane; Nosbusch, Yves - National Bureau of Economic Research (NBER) - 2013

We propose a clientele-based model of the yield curve and optimal maturity structure of government debt. Clienteles are generations of agents at different lifecycle stages in an overlapping-generations economy. An optimal maturity structure exists in the absence of distortionary taxes and...

Persistent link: https://www.econbiz.de/10010969262

The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

Hamilton, James; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2011

This paper reviews alternative options for monetary policy when the short-term interest rate is at the zero lower bound and develops new empirical estimates of the effects of the maturity structure of publicly held debt on the term structure of interest rates. We use a model of risk-averse...

Persistent link: https://www.econbiz.de/10009652851

Why Has Japan's Massive Government Debt Not Wreaked Havoc (Yet)?

Horioka, Charles Yuji; Hagiwara, Akiko Terada-; Nomoto, … - National Bureau of Economic Research (NBER) - 2013

In this paper, we present data on trends over time in government debt financing in Japan since 2010 with emphasis on the importance of foreign holders and speculate about the determinants of those trends. We find that Japanese government securities were held primarily by domestic holders until...

Persistent link: https://www.econbiz.de/10010951434

Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis

Beltratti, Andrea; Stulz, René M. - National Bureau of Economic Research (NBER) - 2015

From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...

Persistent link: https://www.econbiz.de/10011276429

Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects

Broner, Fernando; Erce, Aitor; Martin, Alberto; … - National Bureau of Economic Research (NBER) - 2013

In 2007, countries in the euro periphery were enjoying stable growth, low deficits, and low spreads. Then the financial crisis erupted and pushed them into deep recessions, raising their deficits and debt levels. By 2010, they were facing severe debt problems. Spreads increased and,...

Persistent link: https://www.econbiz.de/10010821965

Measuring Sovereign Contagion in Europe

Pelizzon, Loriana; Rigobon, Roberto; Caporin, Massimiliano - National Bureau of Economic Research (NBER) - 2013

eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian … their sovereign debt and fiscal situations. Thus, the integration among the different eurozone countries is stable, and the …

Persistent link: https://www.econbiz.de/10010796746

Capital Mobility and International Sharing of Cyclical Risk

Mendoza, Enrique G.; Quadrini, Vincenzo; Bengui, Julien - National Bureau of Economic Research (NBER) - 2012

This paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit...

Persistent link: https://www.econbiz.de/10010785610

International Financial Integration and Crisis Contagion

Devereux, Michael B.; Yu, Changhua - National Bureau of Economic Research (NBER) - 2014

International financial integration helps to diversify risk but also may increase the trans- mission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral con- straints....

Persistent link: https://www.econbiz.de/10010950927