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Inflation Targeting and Debt : Lessons from Brazil

Favero, Carlo A. - 2004

Studying the recent experience of Brazil the paper explains how default risk is at the centre of the mechanism through which an emerging market central bank that targets inflation might lose control of inflation--in other words of the mechanism through which the economy might move from a regime...

Persistent link: https://www.econbiz.de/10012468303

A Fiscal Theory of Sovereign Risk

Uribe, Martin - 2002

This paper presents a fiscal theory of sovereign risk and default. Under certain monetary-fiscal regimes, the risk of default, and thus the emergence of sovereign risk premia, are inevitable. The paper characterizes the equilibrium processes of the sovereign risk premium and the default rate...

Persistent link: https://www.econbiz.de/10012469488

Sovereign Debt in Latin America, 1820-1913

Paolera, Gerardo della - 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/10012460297

The "Big C" : Identifying Contagion

Forbes, Kristin - 2012

markets during all states of the world and "contagion" as the spillovers from extreme negative events. Interdependence has …This paper surveys and assesses the academic literature on defining, measuring, and identifying financial contagion and … contagion, highlighting contagion risks in the euro area. The paper defines "interdependence" as high correlations across …

Persistent link: https://www.econbiz.de/10012460195

Sovereign Default Risk and Banks in a Monetary Union

Uhlig, Harald - 2013

This paper seeks to understand the interplay between banks, bank regulation, sovereign default risk and central bank guarantees in a monetary union. I assume that banks can use sovereign bonds for repurchase agreements with a common central bank, and that their sovereign partially backs up any...

Persistent link: https://www.econbiz.de/10012459318

ECB Policies Involving Government Bond Purchases : Impact and Channels

Krishnamurthy, Arvind - 2017

We evaluate the effects of three ECB policies (the Securities Markets Programme, the Outright Monetary Transactions, and the Long-Term Refinancing Operations) on government bond yields. We use a novel Kalman-filter augmented event-study approach and yields on euro-denominated sovereign bonds,...

Persistent link: https://www.econbiz.de/10012453728

World Income Components : Measuring and Exploiting International Risk Sharing Opportunities

Shiller, Robert J. - 1995

We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate … eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a … matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are …

Persistent link: https://www.econbiz.de/10012473792

Implications for the Adjustment Process of International Asset Risks : Exchange Controls, Intervention and Policy Risk, and Sovereign Risk

Buiter, Willem H. - 1980

domestic and foreign assets become imperfect substitutes and that world demand for domestic assets is likely to be less than …

Persistent link: https://www.econbiz.de/10012478620

Cross-Country Causes and Consequences of the Crisis : An Update

Rose, Andrew K. - 2010

We update Rose and Spiegel (2009a, b) and search for simple quantitative models of macroeconomic and financial indicators of the "Great Recession" of 2008-09. We use a cross-country approach and examine a number of potential causes that have been found to be successful indicators of crisis...

Persistent link: https://www.econbiz.de/10012462412

Systemic Sovereign Credit Risk : Lessons from the U.S. and Europe

Ang, Andrew - 2011

We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...

Persistent link: https://www.econbiz.de/10012461675