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Default on sovereign debt is a form of political risk. Issuers and creditors have responded to this risk both by …
Persistent link: https://www.econbiz.de/10009471592
volatility on sovereign default risk. Empirically, the paper establishes a concave relationship between spreads and volatility … volatility this relationship turns negative. The chapter also presents a quantitative model of sovereign debt with default risk … default, given default provides some short-run relief undera very bad realization of shocks.Chapter 2 addresses the …
Persistent link: https://www.econbiz.de/10009450734
This paper analyzes the role played by the IMF in eight recent sovereign debt restructurings from a comparative perspective: Argentina (2001-2005), the Dominican Republic (2004-2005), Ecuador (1999-2000), Pakistan (1998-2001), the Russian Federation (1998-2001), Serbia (2000-2004), Ukraine...
Persistent link: https://www.econbiz.de/10012529530
Sovereign debt restructurings do constitute a recurrent phenomenon in emerging and developing economies. Consequently, the international community has repeatedly explored options to increase the predictability and orderliness of debt workouts, of which the debate on the Sovereign Debt...
Persistent link: https://www.econbiz.de/10012529533
In this paper I combine long multi-country time series data for interest rates and stock returns with the institutional evidence for much earlier centuries amassed by economic historians to study the question of financial globalization and how it has altered since the late classical era. At...
Persistent link: https://www.econbiz.de/10009440670
optimally choose dynamic capital structure and default times. For a dynamic cross-section of firms, our model endogenously … generates a realistic average term structure and time series of actual default probabilities and credit spreads, together with a …
Persistent link: https://www.econbiz.de/10009441109
to the risk of default, which is a collective risk. The possibility of default represents endogenous uncertainty, since … existence of a general equilibrium with default, in which the agents recontract trading positions and prices in the states of … default (Theorem 1). We establish the existence of an open set of general equilibrium economies, called complex economies, in …
Persistent link: https://www.econbiz.de/10009472281
conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In … history and some other variables, LIMMs default slightly more frequently and have about the same loss severity as other loans … differences in prepayment speed on price approximately cancels out the effect of the higher incidence of default. …
Persistent link: https://www.econbiz.de/10009477498
students.In the second chapter, I study the sovereign borrowing market. Sovereign default often affects country’s trade … imports, which stimulates an adjustment to the equilibrium exchange rate. I demonstrate that a default episode can imply up to …
Persistent link: https://www.econbiz.de/10009477934
development, which is uncertain. Limited enforceability of contracts allows default on international debt. International investors …
Persistent link: https://www.econbiz.de/10009462828