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Buchheit, Lee C. - 2014

Persistent link: https://www.econbiz.de/10013062231

Bolton, Patrick; Gulati, Mitu; Panizza, Ugo - 2020

The economic harm being caused by the novel coronavirus may soon result in multiple sovereign debtors moving into default territory. But the existing playbook for dealing with multi-sovereign emerging market debt crises is blank. The only debt crisis scenario we know is protracted...

Persistent link: https://www.econbiz.de/10012294751

Welfare gains of bailouts in a sovereign default model

Pancrazi, Roberto; Seoane, Hernán D.; Vukotic, Marija - 2019

We examine the welfare effects of bailouts in economies exposed to sovereign default risk. When a government of a small open economy requests a bailout from an international financial institution, it receives a non-defaultable loan of size G that comes with imposed debt limits. The government...

Persistent link: https://www.econbiz.de/10012160653

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

Sovereign debt vulnerabilities in Asia and the Pacific

Ferrarini, Benno; Dagli, Suzette; Mariano, Paul - 2023

Three major global crises since 2008 have pushed up public and external debt ratios and associated risks across much of Asia and the Pacific. This is confirmed by debt ratio projections and evidence of widening pockets of vulnerability picked up by regional heat maps in this paper. By and large,...

Persistent link: https://www.econbiz.de/10014259234

Sovereign Debt Ratings and Stock Liquidity Around the World

Lee, Kuan-Hui - 2017

This paper studies the impact of sovereign debt rating changes on liquidity for stocks from 40 countries for the period … 1990-2009. We find that sovereign rating changes significantly affect stock liquidity. The impact is stronger for … impact on stock liquidity. We also find that some stock characteristics and country legal and macroeconomic environment are …

Persistent link: https://www.econbiz.de/10012973725

Liquidity Contagion : The Emerging Sovereign Debt Markets Example

Darolles, Serge - 2017

the performance of this asset class. However in that case, the fund manager faces a mismatch of liquidity between assets … and liabilities and needs some tools to manage the liquidity of his investments. The main contribution of this paper is … the analysis of contagion looking at common market liquidity problems to detect funding liquidity problems. Using the CDS …

Persistent link: https://www.econbiz.de/10012974625

Argentina's Default on Rescheduled Debt : Different Perspectives

Sinapi, Christine - 2014

Argentina's "default" of its rescheduled debt has brought out the multiple vested interests or stakeholders involved. This includes not only Argentina and the vulture funds which are insisting on prioritized full payments, but also the majority bondholders who agreed to rescheduling and the...

Persistent link: https://www.econbiz.de/10013045858

The Systemic Impact of Debt Default in a Multilayered Global Network Model

Porter, Nathan; Tovar, Camilo E.; Treviño, Juan; … - 2022

develop a measure of global systemic risk and use bank stress testing techniques to quantify the systemic impact of the shock …

Persistent link: https://www.econbiz.de/10013491953

Collective Action Clauses : How Do They Weigh on Sovereigns?

Bardozzetti, Alfredo - 2013

We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereigns quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a...

Persistent link: https://www.econbiz.de/10013086416