borrowing costs. Our analysis relies on the five-year credit default swaps (CDS) spread as a leading forward indicator in …

. Sovereigns default mostly selectively. We propose a theory to rationalize these observations. A government chooses the optimal … less costly than raising taxes, but it is subject to default risk due to government's limited commitment. A quantitative …, calibrated model with two shocks and two debts replicates well debt-to-GDP ratios, default frequencies, cyclical properties of …

that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk …, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine …

equilibrium model of an economy exposed to co-moving oil price and output processes, with endogenous sovereign default risk. The …

This paper studies the relationship between sovereign debt default and sovereign credit risk by taking into account the …

types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive … these, together with new information, to develop comprehensive estimates of stocks of government obligations in default …

The internal cost of default, an important driver of sovereign debt repayment, increases with domestic portfolios' home …-off between commitment to repay and diversification. But why does a borrowing country not eschew the internal cost of default … hedging devices? Answering these two questions is key to fathom the nature of internal costs of default. This paper …