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The relationship between debt and output

Kim, Yun Jung; Zhang, Jing - 2020

In this paper we empirically explore the relationship between debt and output in a panel of 72 countries over the period 1970-2014 using a vector autoregression (VAR). We document two puzzling empirical findings that contrast with what is predicted by a standard small open economy model by...

Persistent link: https://www.econbiz.de/10012315471

Sovereign debt maturity structure under asymmetric information

Perez, Diego J. - 2013

Persistent link: https://www.econbiz.de/10009789001

Sovereign debt maturity structure under asymmetric information

Perez, Diego J. - In: Journal of international economics 108 (2017), pp. 243-259

Persistent link: https://www.econbiz.de/10011754049

Inflation and the Maturity Structure of Nominal Debt

Dagher, Jihad C. - 2010

Episodes of high inflation are generally accompanied by a shortening of the maturity of nominal debt contracts. This … and the maturity structure of nominal bonds. The model shows that under the presence of a small risk of price … a negative relationship between inflation and maturity. The paper shows evidence of this negative correlation from …

Persistent link: https://www.econbiz.de/10013134991

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

Long-Duration Bonds and Sovereign Defaults (Revised July 2009)

Hatchondo, Juan Carlos - 2012

This paper extends the baseline framework used in recent quantitative studies of sovereign default by assuming that the government can borrow using long-duration bonds. This contrasts with previous studies, which assume the government can borrow using bonds that mature after one quarter. We show...

Persistent link: https://www.econbiz.de/10013096677

Sovereign Default and the Choice of Maturity

Sánchez, Juan M.; Sapriza, Horacio; Yurdagul, Emircan - 2021

This study develops a novel model of endogenous sovereign debt maturity choice that rationalizes various stylized facts … about debt maturity and the yield spread curve: first, sovereign debt duration and maturity generally exceed one year, and …, output volatility, sudden stops, impatience and risk aversion are key determinants of maturity, both in our model and in the …

Persistent link: https://www.econbiz.de/10014088092

Default risk and economic activity : a small open economy model with sovereign debt and default

Roldán-Peña, Jessica - 2012

Empirical evidence shows that sovereign defaults are associated with significant downturns in economic activity in defaulting countries. However, the existing literature on sovereign debt and default mainly analyzes endowment economies and, therefore, does not address the relationship between...

Persistent link: https://www.econbiz.de/10009705418

Was the Cyprus Crisis Banking or Sovereign Debt?

Panayi, Efrosyni - 2015

The complexity of the Cyprus crisis makes answering the question of the title difficult, while the policy implications make the question important. However, the answer to this question unavoidably points the finger to those responsible, and as a result the quest for an answer is clouted by...

Persistent link: https://www.econbiz.de/10013031535

Russian Debt Crisis : Fear Not Your Debt, But Fundamentals

Gurdgiev, Constantin - 2012

In 1998, following some 10 years of structural reforms that began during the late Soviet era under the Perestroika processes and continued after the collapse of the USSR, Russia has recorded its first year of economic growth. Then, with virtually no advanced warning, by the of August 1998,...

Persistent link: https://www.econbiz.de/10013112330

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