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Sovereign default risk premia and state-dependent twin deficits : conference paper
Hürtgen, Patrick; Rühmkorf, Ronald - 2013 - This version: August 7, 2013
This paper studies the impact of the state-dependent risk of a government default on the correlation of the scal balance and current account. We use a small open economy model where nonlinear risk premia arise endogenously when the government operates close to its scal limit, i.e. the maximum...
Persistent link: https://www.econbiz.de/10010341080
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Contagion of Sovereign Default Risk : The Role of Two Financial Frictions
Park, Jungjae - 2014
This paper develops a quantitative general equilibrium model of sovereign default with heterogeneous agents to account for spillover of default risk across countries. Borrowers (sovereign governments) and foreign lenders (investors) in the model face financial frictions, which endogenously...
Persistent link: https://www.econbiz.de/10013043457
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Sovereign Cocos
Hatchondo, Juan; Martinez, Leonardo; Önder, Yasin Kürşat - 2022
We study a model of equilibrium sovereign default in which the government issues cocos (contingent convertible bonds) that stipulate a suspension of debt payments when the government faces liquidity shocks in the form of an increase of the bondholders' risk aversion. We find that in spite of...
Persistent link: https://www.econbiz.de/10013289445
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Welfare gains of bailouts in a sovereign default model
Pancrazi, Roberto; Seoane, Hernán D.; Vukotic, Marija - 2019
We examine the welfare effects of bailouts in economies exposed to sovereign default risk. When a government of a small open economy requests a bailout from an international financial institution, it receives a non-defaultable loan of size G that comes with imposed debt limits. The government...
Persistent link: https://www.econbiz.de/10012160653
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Economic and political determinants of sovereign default and IMF credit use : a robustness assessment post 2010
Maddah, Lina; Sherry, Hassan; Zeaiter, Hussein - In: Economies : open access journal 12 (2024) 7, pp. 1-36
According to the IMF, the current public debt makes up nearly 40 percent of the global debt, marking the highest share …. This paper investigates macroeconomic, financial, and political determinants of IMF credit use in the post-2010 era. The … Extreme Bounds Analysis (EBA) method, our study reveals that fluctuations in the IMF credit to external debt ratio can be …
Persistent link: https://www.econbiz.de/10014636157
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IMF-Supported Programs : Stimulating Capital to Solvent Countries
van der Veer, Koen - 2014
Sovereign default is the switching state between successful and unsuccessful Fund catalysis. We find the IMF to be … resuming lending, even when the IMF intervenes. As long as default is avoided, IMF programs help a country signal its … Fund catalysis, than the size of IMF lending …
Persistent link: https://www.econbiz.de/10013067244
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What explains sovereign debt litigation
Schumacher, Julian; Trebesch, Christoph; Enderlein, Henrik - 2015
We study the occurrence of holdout litigation in the context of sovereign defaults. The number of creditor lawsuits against foreign governments has strongly increased over the past decades, but there is a large variation across crisis events. Why are some defaults followed by a "run to the...
Persistent link: https://www.econbiz.de/10010512583
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Sovereign risk, interbank freezes, and aggregate fluctuations
Engler, Philipp; Große Steffen, Christoph - 2014
This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank...
Persistent link: https://www.econbiz.de/10010457126
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Sovereign haircuts : 200 years of creditor losses
Luckner, Clemens von <Graf>; Meyer, Josefin; Reinhart, … - 2024
We study sovereign external debt crises over the past 200 years, with a focus on creditor losses, or "haircuts". Our sample covers 327 sovereign debt restructurings with external private creditors over 205 default spells since 1815. Creditor losses vary widely (from none to 100%), but the...
Persistent link: https://www.econbiz.de/10014557831
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Sovereign spreads and the effects of fiscal austerity
Anzoategui, Diego - 2021
I analyze the impact of austerity on sovereign spreads. To do so I propose a model with strategic sovereign default and nominal rigidities where the government follows fiscal rules, which are estimated from data. I first analyze the theoretical implications of the model and find that austerity...
Persistent link: https://www.econbiz.de/10012663666