This paper presents a new database on government debt in 19 emerging market countries since 1980. The data set focuses on the structure of debt in terms of jurisdiction of insurance, maturity, currency composition and indexation. The paper presents stylized facts on debt structures and...

This working paper was written by Refet S. Gürkaynak (Bilkent University, CEPR, CESifo and CFS), Sang Seok Lee (Bilkent University and CEPR), Paul Luk (Hong Kong Institute for Monetary and Financial Research) and Ju Hyun Pyun (Korea University Business School).We study the joint behaviour of...

Emerging economies, unlike advanced economies, have accumulated large foreign reserve holdings. We argue that this policy is an optimal response to an increase in foreign debt rollover risk. In our model, reserves play a key role in reducing debt rollover crises (“sudden stops”), akin to the...

As any stand-alone indicators are proving ineffective in estimating country's fiscal soundness and particularly debt crisis probability, we identify the need for building a model capable of capturing the indicators' context dependence and interactions. We utilize three data mining modeling...

Sovereign state-contingent bonds, in particular growth-indexed bonds (GIBs), have rarely been issued in practice despite their theoretical benefits. This paper provides support for this apparent sovereign noncontingency puzzle by deriving the impact of GIBs on the upper tail of the distribution...

We investigate the impact of local and global macroeconomic factors on Eurobonds and local currency issued bonds in Sub-Saharan Africa, at different points on the yield curve. Using a unique proprietary data set collected from local authorities, central banks and independent international...

This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the...

How do financial markets respond to concerns over debt sustainability and the level of public debt in emerging markets? We introduce a measure of debt sustainability – the difference between the debt stabilizing primary balance and the primary balance – in an otherwise standard spread...

This paper provides a set of stylised facts on the mechanisms through which banking and sovereign distress feed into each other, using a large sample of emerging economies over three decades. We first define "twin crises" as events where banking crises and sovereign defaults combine, and further...

Emerging countries in many cases are more crisis-prone than highly developed industrialized countries. This is in many cases due to a weak or volatile financial sector. The best policy to strengthen crisis resistance is the building up of a sound financial position. A sound financial position of...