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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
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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
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Asia Chartbook: Crises, Credit and Debt, 1835-2013
Reinhart, Carmen - National Bureau of Economic Research (NBER) - 2013
This Chartbook, which is a companion piece to Carmen M. Reinhart and Takeshi Tashiro (2013) "Crowding Out Redefined: The Role of Reserve Accumulation," focuses on nine Asian economies: China, India, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore and Thailand. Like its predecessor...
Persistent link: https://www.econbiz.de/10010951127
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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
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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
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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
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Nonlinearities in Sovereign Risk Pricing: The Role of CDS Index Contracts
Portes, Richard; Delatte, Anne-Laure; Fouquau, Julien - National Bureau of Economic Research (NBER) - 2014
exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European …
Persistent link: https://www.econbiz.de/10010753943
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Sovereign Default Risk and Bank Fragility in Financially Integrated Economies
Bolton, Patrick; Jeanne, Olivier - National Bureau of Economic Research (NBER) - 2011
We analyze contagious sovereign debt crises in financially integrated economies. Under financial integration banks optimally diversify their holdings of sovereign debt in an effort to minimize the costs with respect to an individual country's sovereign debt default. While diversification...
Persistent link: https://www.econbiz.de/10008876849
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The "Big C": Identifying Contagion
Forbes, Kristin - National Bureau of Economic Research (NBER) - 2012
This paper surveys and assesses the academic literature on defining, measuring, and identifying financial contagion and the various channels by which it can occur. It also includes new empirical analysis of recent trends and causes of contagion, highlighting contagion risks in the euro area. The...
Persistent link: https://www.econbiz.de/10010950725
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Financial Openness and Productivity
Bekaert, Geert; Harvey, Campbell; Lundblad, Christian - National Bureau of Economic Research (NBER) - 2009
Financial openness is often associated with higher rates of economic growth. We show that the impact of openness on factor productivity growth is more important than the effect on capital growth. This explains why the growth effects of liberalization appear to be largely permanent, not...
Persistent link: https://www.econbiz.de/10005778218