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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

Credit Ratings and the Pricing of Sovereign Debt during the Euro Crisis

Aizenman, Joshua; Hutchison, Michael Mercier; Binici, Mahir - National Bureau of Economic Research (NBER) - 2013

This paper investigates the impact of credit rating changes on the sovereign spreads in the European Union and investigates the macro and financial factors that account for the time varying effects of a given credit rating change. We find that changes of ratings are informative, economically...

Persistent link: https://www.econbiz.de/10010950758

Towards a Political-Economic Theory of Domestic Debt

Drazen, Allan - National Bureau of Economic Research (NBER) - 1997

A political-economic model of the composition of government debt, that is, whether it is issued to domestic or foreign holders, is presented. The key determinant will be the political constraints on repudiation of foreign and domestic debt, which will determine the nature of the domestic...

Persistent link: https://www.econbiz.de/10005830456

Debt Maturity: Is Long-Term Debt Optimal?

Alfaro, Laura; Kanczuk, Fabio - National Bureau of Economic Research (NBER) - 2007

We model and calibrate the arguments in favor and against short-term and long-term debt. These arguments broadly include: maturity premium, sustainability, and service smoothing. We use a dynamic equilibrium model with tax distortions and government outlays uncertainty, and model maturity as the...

Persistent link: https://www.econbiz.de/10005830627

The Stock of External Sovereign Debt: Can We Take the Data At 'Face Value'?

Wright, Mark; Dias, Daniel A.; Richmond, Christine J. - National Bureau of Economic Research (NBER) - 2011

The stock of sovereign debt is typically measured at face value. This is a misleading indicator when debts are issued with different contractual forms. In this paper we construct a new measure of the stock of external sovereign debt for 100 developing countries from 1979 to 2006 that is...

Persistent link: https://www.econbiz.de/10009353490

Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default

Mendoza, Enrique G.; D'Erasmo, Pablo - National Bureau of Economic Research (NBER) - 2013

The European debt crisis shares features of the historical episodes of outright default on domestic public debt identified by Reinhart and Rogoff (2008) as a forgotten research subject. This paper proposes a theory of domestic sovereign default in which a government chooses debt and default...

Persistent link: https://www.econbiz.de/10010969420

Sovereign Debt in Latin America, 1820-1913

Taylor, Alan M.; Paolera, Gerardo della - National Bureau of Economic Research (NBER) - 2012

This paper examines sovereign lending to Latin America and the Caribbean from 1820 to 1913. We examine four waves of capital flows where defaults were followed by a return to market access. In spite of extended default, countries kept promising high returns that attracted international investors...

Persistent link: https://www.econbiz.de/10010969421

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

Fiscal Policy and Macroeconomic Uncertainty in Developing Countries: The Tale of the Tormented Insurer

Mendoza, Enrique G.; Oviedo, P. Marcelo - National Bureau of Economic Research (NBER) - 2006

Governments in emerging markets often behave like a "tormented insurer," trying to use non-state-contingent debt instruments to avoid cuts in payments to private agents despite large fluctuations in public revenues. In the data, average public debt-GDP ratios decline as the variability of...

Persistent link: https://www.econbiz.de/10005774994

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