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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

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

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

Selective Default Expectations

Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023

This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...

Persistent link: https://www.econbiz.de/10014467879

The Future of Sovereign Borrowing in Europe

Balling, Morten; Gnan, Ernest; Holler, Johannes; … - 2013

In March 2013 around 130 participants from academia, banking and finance, governments and central banking gathered at the premises of the OeNB in Vienna for a conference jointly organized by the European Money and Finance Forum SUERF, the OeNB and the Austrian Society for Bank Research to...

Persistent link: https://www.econbiz.de/10011689961

How does private foreign borrowing affect the risk of sovereign default in developing countries?

Celasun, Oya; Harms, Philipp - 2007

We argue that increased foreign borrowing by the private sector reduces the risk that a developing country's government defaults on its foreign debt. We present a simple model in which private foreign borrowing reflects a surge of private entrepreneurship. A larger "entrepreneurial class" raises...

Persistent link: https://www.econbiz.de/10011430065

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

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

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