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Self-fulfilling debt crises : a quantitative analysis

Bocola, Luigi; Dovis, Alessandro - 2016

Persistent link: https://www.econbiz.de/10011556121

Self-fulfilling debt crises : a quantitative analysis

Bocola, Luigi; Dovis, Alessandro - In: The American economic review 109 (2019) 12, pp. 4343-4377

Persistent link: https://www.econbiz.de/10012200466

Self-Fulfilling Debt Crises : A Quantitative Analysis

Bocola, Luigi - 2016

This paper uses the information contained in the joint dynamics of government's debt maturity choices and interest rate … borrowing featuring endogenous debt maturity, risk averse lenders and self-fulfilling rollover crises á la Cole and Kehoe (2000 …-fulfilling defaults. These two sources of default risk have contrasting implications for the debt maturity choices of the government …

Persistent link: https://www.econbiz.de/10012455986

Air temperature and sovereign bond returns

Kizys, Renatas; Rouatbi, Wael; Umar, Zaghum; Zaremba, Adam - In: Financial markets, institutions & instruments 33 (2024) 2, pp. 179-209

Persistent link: https://www.econbiz.de/10014532260

Risk aversion and uncertainty in European sovereign bond markets

Fourel, Valère; Idier, Julien - 2011

Persistent link: https://www.econbiz.de/10009381814

Risk Aversion and Uncertainty in European Sovereign Bond Markets

Idier, Julien - 2012

Risk aversion and uncertainty are often both at play in market price determination, but it is empirically challenging to disentangle one from the other. In this paper we set up a theoretical model particularly suited for opaque over-the-counter markets that is shown to be empirically tractable....

Persistent link: https://www.econbiz.de/10013113603