This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the...

This chapter surveys recent research on international financial crises. A financial crisis is characterized by a sudden, dramatic outflow of financial resources from an economy with an open capital account. This outflow may be primarily driven by the expectation of a large nominal devaluation,...

Ausgelöst durch das Zusammentreffen niedriger Zinsen in reichen Ländern und einem hohen Finanzierungsbedarf für Infrastruktur in vielen ärmeren Ländern befindet sich die Verschuldung der Länder des Globalen Südens seit Jahren auf einem dramatisch hohen Niveau. Hohe Schuldendienstzahlungen...

This study provides a dynamic analysis of the lead-lag relationship between sovereign Credit Default Swap (CDS) and bond spreads of the highly indebted southern European countries, considering an extensive time sample from the period before the global financial crisis to the latest developments...

This paper examines the causes, process, and outcome of Belize’s 2016–17 sovereign debt restructuring – its third episode in last 10 years. As was the case in the earlier two restructurings, in 2006-07 and in 2012-13, the 2016-17 debt restructuring was executed through collaborative...

Quantitative models of sovereign default predict that governments reduce borrowing during recessions to avoid debt crises. A prominent implication of this behavior is that the resulting interest rate spread volatility is counterfactually low. We propose that governments borrow into debt crises...

This research highlights the asymmetric interdependence structure among the sovereign risks of Brazil, Russia, India, China, Indonesia, and Türkiye (BRICIT) nations, challenging the traditional view that bilateral trade is the main channel for cross-border spillover effects. Despite their...

The purpose of this paper is to examine the determinants of credit ratings, sovereign spreads and real interest rates for emerging market economies. Using panel data on a sample of 18 emerging markets for the period 1998 to 2008, the cross-sectional and time series dimensions of sovereign...