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Reserve Management and Sovereign Debt Cost in a World with Liquidity Crises
Corneli, Flavia - 2011
the country has an incentive to default after a liquidity shock. Indeed, we show that the country may choose to retain … world with liquidity crises and strategic default, we model a contracting game between international lenders and a country … probability of liquidity shocks is high enough; however the cost of debt increases in reserves when the lenders anticipate that …
Persistent link: https://www.econbiz.de/10013125687
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Reserve Management and Sovereign Debt Cost in a World with Liquidity Crises
Corneli, Flavia - 2011
anticipate that the country has an incentive to default after a liquidity shock. Indeed, in the event of such a shock, we show … world with liquidity crises and strategic default, we model a contracting game between international lenders and a country … reserves if the probability of liquidity shocks is high enough; however the cost of debt increases in reserves when the lenders …
Persistent link: https://www.econbiz.de/10013132969
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Growth, Liquidity Provision, International Reserves, and Sovereign Debt Capacity
Xu, Yu - 2015
credit markets, liquidity demands rise in a country's domestic banking sector, which raise the probability of bank runs and …
Persistent link: https://www.econbiz.de/10013027906
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Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim - 2023
This paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market...
Persistent link: https://www.econbiz.de/10014495920
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Pricing Sovereign Debt in Resource-Rich Economies
McGregor, Thomas - 2019
How do oil price movements affect sovereign spreads in an oil-dependent economy? I develop a stochastic general equilibrium model of an economy exposed to co-moving oil price and output processes, with endogenous sovereign default risk. The model explains a large proportion of business cycle...
Persistent link: https://www.econbiz.de/10012858384
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Institutions, Public Debt and Foreign Finance
Gennaioli, Nicola - 2009
We study the role of domestic financial institutions in sustaining capital flows to the private and public sector of a country whose government can default on its debt. As in recent public debt crises, in our model public defaults weaken banks' balance sheets, disrupting domestic financial...
Persistent link: https://www.econbiz.de/10013155775
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International Transmission of Interest Rates : The Role of International Reserves and Sovereign Debt
Afonso, António; Huart, Florence; Jalles, João Tovar; … - 2021
We analyse the international transmission of interest rates by focusing on the role of the accumulation of international reserves and on the financing of sovereign debt. An increase in foreign exchange reserves is expected to moderate the influence of U.S. interest rates. However, a high level...
Persistent link: https://www.econbiz.de/10013240933
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Bankruptcy, Backwards : The Problem of Quasi-Sovereign Debt
Gelpern, Anna - 2012
This Feature considers the debts of quasi-sovereign states in light of proposals to let them file for bankruptcy protection. States that have ceded some but not all sovereign prerogatives to a central government face distinct challenges as debtors. It is unhelpful to analyze these challenges...
Persistent link: https://www.econbiz.de/10013113162
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Avoiding Sovereign Default Contagion : A Normative Analysis
de Ferra, Sergio; Mallucci, Enrico - 2021
Should debtor countries support each other during sovereign debt crises? We answer this question through the lens of a two-country sovereign-default model that we calibrate to the euro-area periphery. First, we look at cross-country bailouts. We find that whenever agents anticipate their...
Persistent link: https://www.econbiz.de/10013310053
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An Econometric Analysis of the Impact of Sovereign Debt Structure on Default Likelihood
Nandita - 2013
This paper tests the effect of sovereign debt structure on default likelihood. Sovereign debt structure is identified on the basis of maturity, creditor type and currency composition. The paper uses panel logit model to estimate the likelihood of default. The results provide evidence that...
Persistent link: https://www.econbiz.de/10013082631