that a 10-basis-point reduction in long-term U.S. Treasury yields results in a 0.4-percentage-point increase in the foreign …

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one … reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of … sovereign risk transferring to corporates and increasing their risk of default may be mitigated by legal institutions that …

acquired by central banks, and changes in the interest rate paid on reserves. We first extend a standard New Keynesian model to … allow a role for the central bank’s balance sheet in equilibrium determination and then consider the connections between … the strict sense and targeted asset purchases by a central bank, arguing that, according to our model, while the former is …

-term interest rates to the operating procedures of the countries' central banks. Previous studies have focused on key features of … details and in the style of central bank intervention, along both cross-sectional and time-series dimensions of our data. Our …

Program (HARP). We use a competing risk model to estimate the sensitivity of default risk to downward adjustments of borrowers … an average loss given default of 35.2 percent, this lower default risk implies reduced credit losses of 134 basis points …

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk … typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the … economy comprised of a large number of firms, credit event risk premia have an upper bound of just a few basis points and are …

the model for theoretical and quantitative analyses of policy issues facing modern central banks. …