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The Fund's role in sovereign liquidity crises

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Illiquidity in Sovereign Debt Markets

Passadore, Juan; Xu, Yu - 2020

We study sovereign debt and default policies when credit and liquidity risk are jointly determined. To account for both … market for sovereign bonds. We quantify the effect of liquidity on sovereign spreads and welfare by performing quantitative …, we find (a) that a substantial portion of sovereign spreads is due to a liquidity premium, and (b) the liquidity premium …

Persistent link: https://www.econbiz.de/10014352370