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Sovereign CDS Spreads in Europe: The Role of Global Risk Aversion, Economic Fundamentals, Liquidity, and Spillovers
Heinz, Frigyes F; Sun, Yan - International Monetary Fund (IMF) - 2014
By analysing data from January 2007 to December 2012 in a panel GLS error correction framework we find that European … countries’ sovereign CDS spreads are largely driven by global investor sentiment, macroeconomic fundamentals and liquidity … drop in liquidity and a spike in risk aversion contributed to high spreads in Central and Eastern and South …
Persistent link: https://www.econbiz.de/10011142168
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Predicting Sovereign Debt Crises
Schimmelpfennig, Axel; Roubini, Nouriel; Manasse, Paolo - International Monetary Fund (IMF) - 2003
solvency and liquidity factors that predict a debt-crisis episode one year in advance. The logit model predicts 74 percent of …
Persistent link: https://www.econbiz.de/10005248202
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Can Debt Crises Be Self-Fulfilling?
Chamon, Marcos - International Monetary Fund (IMF) - 2004
Several papers argue that debt crises can be the result of self-fulfilling expectations that no one will lend to a country. I show this type of coordination failure can be eliminated by a combination of state-contingent securities and a mechanism that allows investors to promise to lend only if...
Persistent link: https://www.econbiz.de/10005826120
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Intertwined Sovereign and Bank Solvencies in a Model of Self-Fulfilling Crisis
Adler, Gustavo - International Monetary Fund (IMF) - 2012
Large fiscal financing needs, both in advanced and emerging market economies, have often been met by borrowing heavily from domestic banks. As public debt approached sustainability limits in a number of countries, however, high bank exposure to sovereign risk created a fragile inter-dependence...
Persistent link: https://www.econbiz.de/10010878417
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Portugal; Request for a Three-Year Arrangement Under the Extended Fund Facility
International Monetary Fund (IMF); International … - 2011
Portugal's economy faced severe crisis during the global economic and financial crisis. In this context, Portugal's authorities have put forward an economically well-balanced program that will focus on structural reforms to boost growth and employment, ensure balanced fiscal sustainability,...
Persistent link: https://www.econbiz.de/10011244580
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Debt Crises and the Development of International Capital Markets
Sy, Amadou N. R.; Pescatori, Andrea - International Monetary Fund (IMF) - 2004
, consequently, in fitting the post-1994 period. In particular, liquidity indicators are significant in explaining our definition of …
Persistent link: https://www.econbiz.de/10005263954
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Foreign Exchange Intervention; A Shield Against Appreciation Winds?
International Monetary Fund (IMF); International … - 2011
This paper examines foreign exchange intervention practices and their effectiveness using a new qualitative and quantitative database for a panel of 15 economies covering 2004 - 10, with special focus on Latin America. Qualitatively, it examines institutional aspects such as declared motives,...
Persistent link: https://www.econbiz.de/10009203527
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Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets
Das, Udaibir S.; Papaioannou, Michael G.; Trebesch, … - International Monetary Fund (IMF) - 2010
Top down spillovers of sovereign default risk can have serious consequences for the private sector in emerging markets. This paper analyzes the effects of these spillovers using firm-level data from 31 emerging market economies. We assess how sovereign risk affects corporate access to...
Persistent link: https://www.econbiz.de/10008561075
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Exchange Rate Policy and Debt Crises in Emerging Economies
Montiel, Peter; Jahjah, Samir - International Monetary Fund (IMF) - 2003
We explore a model intended to capture the interaction between exchange rate policy, fiscal policy, and outright default on foreign-currency denominated debt. We examine how the exchange rate affects the supply of short-term debt facing the government. We show that under a credible hard peg...
Persistent link: https://www.econbiz.de/10005826111
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Lebanon-Weathering the Perfect Storms
Schimmelpfennig, Axel; Gardner, E. H. - International Monetary Fund (IMF) - 2008
This paper reviews Lebanon's ability to manage financial pressures following severe shocks despite its large public debt overhang and significant external vulnerabilities. Based on interviews with market participants in Beirut and London, the paper concludes that Lebanon's ability to weather...
Persistent link: https://www.econbiz.de/10005826335