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Exchange Rate Policy under Sovereign Default Risk

Schabert, Andreas - 2011

We examine monetary policy options for a small open economy where sovereign default might occur due to intertemporal insolvency. Under interest rate policy and floating exchange rates the equilibrium is indetermined. Under a fixed exchange rate the equilibrium is uniquely determined and...

Persistent link: https://www.econbiz.de/10010325864

Bank/sovereign risk spillovers in the European debt crisis

De Bruyckere, Valerie; Gerhardt, Maria; Schepens, Glenn; … - 2012

This paper investigates contagion between bank risk and sovereign risk in Europe over the period 2006-2011. Since this period covers various stages of the banking and sovereign crisis, it offers a fertile ground to analyze bank/sovereign risk spillovers. We define contagion as excess...

Persistent link: https://www.econbiz.de/10011506752

A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an Application to Brazilian Data

Garcia, Márcio; Rigobon, Roberto - 2004

In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...

Persistent link: https://www.econbiz.de/10011807312

Measuring co-movements of CDS premia during the Greek debt crisis

Andenmatten, Sergio; Brill, Felix - 2011

In this paper we test whether the co-movement of sovereign CDS premia increased significantly after the Greek debt crisis started in October 2009. We perform a bivariate test for contagion that is based on an approach proposed by Forbes and Rigobon (2002). Our sample consists of daily data...

Persistent link: https://www.econbiz.de/10010316042

Do we need a mechanism for solving sovereign debt crises? A rule-based discussion

Panizza, Ugo - 2013

This paper uses the rules of engineering as a rhetorical device to discuss why the international financial architecture needs a structured mechanism for dealing with sovereign insolvency. The paper suggests that the most important problem with the status-quo relates to delayed defaults and...

Persistent link: https://www.econbiz.de/10010316771

Resolving sovereign debt crises: Opening or closing the tap?

Kohler, Wilhelm - 2012

of taps to be opened or closed by policy is used to discuss the core trade offs that policy makers face. I discuss …

Persistent link: https://www.econbiz.de/10010309225

India - Pakistan Trade

Taneja, Nisha - 2006

Quantitative studies estimate that potential two way trade between India and Pakistan can be about 10 times than its … rather unsatisfactory current level of $ 613 million. Moving towards realizing this trade potential is clearly in the … interest of both countries and the region. In this context this study identifies areas of trade and investment co …

Persistent link: https://www.econbiz.de/10011807589

Transmission of Sovereign Risk in the Euro Crisis

Brutti, Filippo; Sauré, Philip - 2012

We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign CDS for eleven European countries. To estimate...

Persistent link: https://www.econbiz.de/10011430097

Country Default Probabilities: Assessing and Backtesting

Vogl, Konstantin; Maltritz, Dominik; Huschens, Stefan; … - 2006

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

Persistent link: https://www.econbiz.de/10010296810

Default risk and economic activity: A small open economy model with sovereign debt and default

Roldán-Peña, Jessica - 2012

Empirical evidence shows that sovereign defaults are associated with significant downturns in economic activity in defaulting countries. However, the existing literature on sovereign debt and default mainly analyzes endowment economies and, therefore, does not address the relationship between...

Persistent link: https://www.econbiz.de/10010322557

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