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Indeterminacy, economic fluctuations, bubbles and empirical sunspots

Aguiar-Conraria, Luís - 2006

Persistent link: https://www.econbiz.de/10003904187

Sovereign debt sustainability in advanced economies

Collard, Fabrice; Habib, Michel Antoine; Rochet, … - In: Journal of the European Economic Association 13 (2015) 3, pp. 381-420

Persistent link: https://www.econbiz.de/10011405313

Quantifizierung von Souveränrisiken

Maltritz, Dominik - 2006

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Forecasting sovereign default risk with Merton's model

Duyvesteyn, Johan; Martens, Martin - In: The journal of fixed income 25 (2015) 2, pp. 58-71

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Monetary policy, bond returns and debt dynamics

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Forecasting Sovereign Default risk with Merton’s Model

Duyvesteyn, Johan G. - 2016

Merton's structural model for sovereigns is proven to be useful to analyze the default risk of a country. We are the first to investigate how fast CDS spreads react to changes in model inputs and outputs. CDS spread changes strongly correlate with exchange rate returns, which are an input to the...

Persistent link: https://www.econbiz.de/10013008626