We investigate the nature of sovereign credit risk for selected Asian and European countries based on a set of sovereign CDS data over an eight-year period that includes the episode of the 2008-2009 global financial crisis. The principal component analysis results indicate that there exists...

In the 1970s, while a leftist military dictatorship ruled Peru, more than 22 million acres of cultivated or grazing farmland – one-third of Peru's total agricultural acreage, or seven-and-a-half times the land area of Connecticut – were expropriated from thousands of large owners as part of...

We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a “default premium” (DP) that is consistent with asymmetric information models...

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...

What has been the effect of the shift in emerging market capital flows toward private sector borrowers? Are emerging market capital flows more efficient? If not, can controls on capital flows improve welfare? This paper shows that the answers depend on the form of default risk. When private...

This paper provides a simple model of the rescheduling of debt following a sovereign default as a bond exchange.

We study how sovereign wealth fund (SWF) investments affect the credit risk of target companies as measured by the change in their credit default swap (CDS) spreads around the investment announcement. Our analysis is based on a sample of 391 SWF investments in 198 companies between 2003 and...

This study relates financial integration to credit risk of banks in a panel of countries. Over the period of study, we compute measures of financial integration for a panel of banks and examine how they relate to the credit risk of borrowing banks. The result of an instrumental variable approach...

Over the last ten years, institutions such as the IMF have launched several initiatives to change market practice with respect to sovereign bond contract drafting in order to ease restructuring after defaults. The first of these, the universal adoption of collective action clauses, was embraced...

Relational contracts have been shown to mitigate moral hazard in labor and credit markets. A central assumption in most theoretical and experimental studies is that, upon misbehaving, agents can be excluded from their current source of income and have to resort to less attractive outside...