of modified yield duration. …Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because … they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread …

This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of … countries. Our main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high … to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major …

This paper estimates the effect of sovereign debt renegotiation on international trade. Sovereign default may be … conducted through the Paris Club as a proxy measure for sovereign default, I find that renegotiation is associated with an … associated with a subsequent decline in international trade either because creditors want to deter default by debtors, or because …

This Paper estimates the effect of sovereign debt renegotiation on international trade. Sovereign default may be … conducted through the Paris Club as a proxy measure for sovereign default, I find that renegotiation is associated with an … associated with a subsequent decline in international trade either because creditors want to deter default by debtors, or because …

The pedestrian narrative about the Greek financial crisis and default is that the country was fiscally mismanaged for a … the country’s creditworthiness. Therefore, a default and debt restructuring were inevitable sooner or later—and certainly …, for example, by a prominent economic historian: “Since independence in the 1830s, Greece has been in a state of default …

Sovereign debt restructurings can be implemented preemptively - prior to a payment default. We code a comprehensive new … sovereign debt model that incorporates preemptive and post-default renegotiations. The model improves the fit with the data and … explains the sovereign’s optimal choice: preemptive restructurings occur when default risk is high ex-ante, while defaults …

I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of … default induced redistribution and costs due to income losses in the wake of a default. Their choice of short- versus long …-term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped by …

I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of … default induced redistribution and costs due to income losses in the wake of a default. Their choice of short- versus long …- term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped …

We develop a sovereign debt model with offcial and private creditors where default risk depends on both the level and … presence of long-term debt overhang, the availability of offcial funds increases the probability of default on existing debt …, although default does not trigger exclusion from private credit markets. These findings help shed light on joint default and …

We shed light on the function, properties and optimal size of austerity using the standard sovereign debt model … obtained by a sovereign is not a reliable measure of austerity suffered; and that austerity may actually be associated with …