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Uncertainty Shocks and Non-Fundamental Debt Crises : An Ambiguity Approach

Grosse Steffen, Christoph - 2015

This paper develops a theory of sovereign debt crises driven by uncertainty shocks that are modeled as changes in …

Persistent link: https://www.econbiz.de/10013023262

Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt

Roch, Francisco; Roldán, Francisco - 2022

We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond...

Persistent link: https://www.econbiz.de/10014030625

Systemic Risk and Inefficient Debt Maturity

Bengui, Julien - 2010

This paper analyzes private debt maturity choices in a dynamic macroeconomic model in which financial frictions give … rise to systemic risk in the form of amplification effects, and shows that decentralized maturity decisions may result in a … balance sheet, but they come at an extra cost. The debt maturity structure therefore maps into an allocation of aggregate risk …

Persistent link: https://www.econbiz.de/10013137276

Debt Maturity, Leverage, and Political Uncertainty

Pan, Wei-Fong - 2019

This study investigates the effects of political uncertainty (PU) on corporate debt maturity and leverage using a novel … measure of firm-specific PU. We find that PU is negatively associated with debt maturity and leverage. Furthermore, the … negative effects of PU on debt maturity and leverage are more pronounced for firms with greater investment reversibility and a …

Persistent link: https://www.econbiz.de/10012897244

Intertemporal diversification of sub-sovereign debt

Knezevic, David - In: Empirical economics : a journal of the Institute for … 58 (2020) 2, pp. 453-487

Persistent link: https://www.econbiz.de/10012219025

The risks of safe assets

Schmid, Lukas; Liu, Yang; Yaron, Amir - 2021

Persistent link: https://www.econbiz.de/10012594335

Macro Uncertainty and Currency Premia

Della Corte, Pasquale - 2019

consistent with the recent advances in exchange rate theory based on capital flows in imperfect financial markets …

Persistent link: https://www.econbiz.de/10012902226

Uncertainty about the fundamentals and the occurrence of sudden stops of capital flows : theory and empirics

Köhler-Geib, Fritzi - 2006

We analyse the effect of the uncertainty about the fundamentals on the probability of sudden stops of capital flows from a theoretical and empirical perspective. Our model predicts that the probability of crises increases with the uncertainty, ie. the dispersion of private signals about the true...

Persistent link: https://www.econbiz.de/10009746213

Endogenous Global Risk

Huang, Ji; Hu, Hao - 2022

The U.S. could be the source of the global financial risk because it longs risky assets and shorts safe assets in the international capital market. This paper builds a stylized two-country model to highlight that when the developed country's risk-bearing capacity improves, it holds more foreign...

Persistent link: https://www.econbiz.de/10013306985

Current Account Uncertainty and Currency Premia

Institute for Monetary and Financial Research, Hong Kong - 2023

advances in exchange rate theory based on capital flows in imperfect financial markets …

Persistent link: https://www.econbiz.de/10014255022