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Business Cycles in Emerging Markets : The Role of Liability Dollarization and Valuation Effects

Notz, Stefan - 2014

Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. The purpose of this paper is to investigate the importance of certain credit market imperfections...

Persistent link: https://www.econbiz.de/10013051942

Contagion of Sovereign Default Risk : The Role of Two Financial Frictions

Park, Jungjae - 2014

This paper develops a quantitative general equilibrium model of sovereign default with heterogeneous agents to account for spillover of default risk across countries. Borrowers (sovereign governments) and foreign lenders (investors) in the model face financial frictions, which endogenously...

Persistent link: https://www.econbiz.de/10013043457

Sovereign Default and Capital Accumulation

Park, Jungjae - 2014

I introduce endogenous capital accumulation into an otherwise standard quantitative sovereign default model in the tradition of Eaton and Gersovitz (1981), and find that conditional on a level of debt, default incentives are U shaped in the capital stock: the economy with too small or too large...

Persistent link: https://www.econbiz.de/10013043458

External Financing Risks : How Important is the Composition of the International Investment Position?

Cubeddu, Luis; Ahmed Hannan, Swarnali; Rabanal, Pau - 2021

Building on the vast literature, this paper focuses on the role of the structure of the international investment position (IIP) in affecting countries' external vulnerabilities. Using a sample of 73 advanced and emerging economies and new database on the IIP's currency composition, we find that...

Persistent link: https://www.econbiz.de/10013243065

Sudden stops and reserve accumulation in the presence of international liquidity risk

Lutz, Flora; Zessner-Spitzenberg, Leopold - 2020

We propose a small open economy model where agents borrow internationally and invest in liquid foreign assets to insure against liquidity shocks, which temporarily shut out the economy of short-term credit markets. Due to the presence of a pecuniary externality individual agents borrow too much...

Persistent link: https://www.econbiz.de/10012425195

Default risk and economic activity: A small open economy model with sovereign debt and default

Roldán-Peña, Jessica - 2012

Empirical evidence shows that sovereign defaults are associated with significant downturns in economic activity in defaulting countries. However, the existing literature on sovereign debt and default mainly analyzes endowment economies and, therefore, does not address the relationship between...

Persistent link: https://www.econbiz.de/10010322557

The relationship between debt and output

Kim, Yun Jung; Zhang, Jing - 2020

In this paper we empirically explore the relationship between debt and output in a panel of 72 countries over the period 1970-2014 using a vector autoregression (VAR). We document two puzzling empirical findings that contrast with what is predicted by a standard small open economy model by...

Persistent link: https://www.econbiz.de/10012653028

Determinants of debt maturity structure across firm size

González Méndez, Víctor Manuel - In: Spanish journal of finance and accounting 42 (2013) 158, pp. 187-209

Persistent link: https://www.econbiz.de/10010200660

International Debt Deleveraging

Fornaro, Luca - 2013

I provide a framework for understanding debt deleveraging in a group of _nancially integrated countries. During an episode of international deleveraging world consumption demand is depressed and the world interest rate is low, reecting a high propensity to save. If exchange rates are allowed to...

Persistent link: https://www.econbiz.de/10013370099

Parameterizing debt maturity

Barrett, Philip; Johns, Christopher - 2021

This paper examines ways to summarize the maturity structure of public debts using a small number of parameters. We …) more accurately describes changes in debt maturity for these six countries and 2) gives a quite different interpretation of … historical debt maturity. Our work can be applied not just to analyze past debt movements, but - because parameter estimates are …

Persistent link: https://www.econbiz.de/10012604796