This paper develops an international asset-pricing model with defaultable firms and governments that demonstrates how sovereign credit risk in Europe affects US equity market prices. The risk of a sovereign debt crisis is a threat to economic growth that reduces the value of international...

We develop a multivariate credit risk model that accounts for joint defaults of banks and allows us to disentangle how much of banks' credit risk is systemic. We find that the US and UK differ not only in the evolution of systemic risk, but in particular in their banks' systemic exposures. In...

We develop a multivariate credit risk model that accounts for joint defaults of banks and allows us to disentangle how much of banks' credit risk is systemic. We find that the US and UK differ not only in the evolution of bank systemic risk, but also in their banks' systemic exposures. In both...

We study the extent to which the perceived cost of losing the exorbitant privilege the US holds in global safe asset markets sustains the safety of its public debt. Our findings indicate that the loss of this special status in the event of a default significantly augments the debt capacity for...

In this paper, we find that home bias is still present in all economies and regions, especially in the case of short-term debt securities, but that there are substantial variations among economies and regions in the strength of home bias, with the Eurozone economies, the US, and developing Asia...

Official holdings of US dollar reserves are partly invested outside the United States. These offshore investments do not strictly speaking finance the US current account, but do support the US dollar. Offshore holdings grow fast when intervention is large

The expansion in financial sector "safe" assets, largely in the form of structured products from the U.S. and the Caribbean, in the lead-up to the global financial crisis has by now been fairly well documented. Using a unique dataset derived from security-level data on U.S. portfolio holdings of...

From 2000 to 2015 there was a large increase in U.S. dollar debt issues by Chinese firms. Financial policy makers have been concerned about potentially serious negative consequences from this rapid growth in foreign currency corporate debt. We first observe that the average growth rate of these...

Understanding the global financial crisis and the stresses on bank balance sheets requires a perspective on banks’ international investment positions and how these positions were funded across currencies and counterparties. This special feature uses the BIS international banking statistics to...