This paper analyzes the impact of limited enforceable international loanson international risk sharing and trade fluctuations in a two-country two-good endowment economy. Our specification of the punishment threat allowsthe exclusion from trade to last only finitely many periods and...

This paper studies a two country model with economies disaggregated into traded and non-traded sectors and in which investment goods as in practice are produced by combining inputsfrom all sectors. The model also accounts for nontraded distribution services employed in retail-ing traded goods to...

The consensus about the ability of the standard open-economy neoclassical growthmodel to account for interest-rate driven business cycles has changed over time:whereas early research concluded that business cycles are neutral to interest-rateshocks, more recent investigations suggest that these...

Im vergangenen Jahrzehnt gingen beträchtliche Kapitalströme aus den entwickeltenVolkswirtschaften mit einem starken Kreditwachstum in den Ländern des westlichen Balkans,der Türkei und den GUS einher. Dennoch konnten fast alle Länder der Region – ungeachtetihrer unterschiedlichen...

A poor country with volatile export prices borrows in international markets. When debtis denominated in foreign currency, there is a temptation to repudiate when export pricesare low...

This paper considers the currency composition of sovereign debt in the context of risksharingthrough excusable defaults. It is shown that monetary credibility is not asufficient condition for borrowing in domestic currency. With real exchange rate risk,debt denominated in a borrowing country’s...

This paper provides, and empirically estimates, a model of sovereign default risk on external debt,in which the sovereign endogenously determines the timing of defaulting. The paper o¤ers theoreticalpredictions of the relationship between credit spreads and related macro-variables that are...

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity. Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds.(...)

While the relationship between volatility and risk is central to much of thefinancial literature it has not been incorporated systematically into assessment ofsovereign debt sustainability. This paper attempts to fill this gap by studying how the probability distribution of sovereign debt to GDP...