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Sovereign Debt Crises and Sovereign Spreads : A Review of Academic Literature

Savvopoulou, Ersi Iliana - 2023

This monograph provides an extensive literature review of models of sovereign debt crisis and of the empirical literature on the determinants of sovereign spreads. Separate sections place emphasis on debt sustainability, multiple equilibria, and on models of self-fulfilling debt crises. The last...

Persistent link: https://www.econbiz.de/10014350605

Limiting risk premia in EMEs : the role of FX reserves

Kohlscheen, Emanuel - In: Economics letters 196 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012510924

Euro Crisis : From the Sovereigns to the Banks and Back to the Sovereigns

Gurdgiev, Constantin - 2011

The global financial crisis of 2007-2009 crystallized the underlying imbalances that are currently acting to tear apart the Euro area monetary and fiscal systems by focusing markets and public attention on the core cause of the overall Euro crisis, the insolvency of the Euro area member-states...

Persistent link: https://www.econbiz.de/10013122727

The Nonlinear Relationship between Public Debt and Sovereign Credit Ratings

Hadzi-Vaskov, Metodij - 2019

This study investigates the nonlinear relationship between public debt and sovereign credit ratings, using a wide sample of over one hundred advanced, emerging, and developing economies. It finds that: i) higher public debt lowers the probability of being placed in a higher rating category; ii)...

Persistent link: https://www.econbiz.de/10012864106

Sovereign spreads and the effects of fiscal austerity

Anzoategui, Diego - 2021

I analyze the impact of austerity on sovereign spreads. To do so I propose a model with strategic sovereign default and nominal rigidities where the government follows fiscal rules, which are estimated from data. I first analyze the theoretical implications of the model and find that austerity...

Persistent link: https://www.econbiz.de/10012663666

A Primer on Managing Sovereign Debt-Portfolio Risks

Jonasson, Thordur - 2018

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...

Persistent link: https://www.econbiz.de/10012918566

Pricing Sovereign Contingent Convertible Debt

Consiglio, Andrea - 2018

We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching which is prevalent during crises. Regime switching is modeled as a...

Persistent link: https://www.econbiz.de/10012935831

Overlooked Sovereign Credit Events and Non-Pecuniary Defaults : British Debt Sustainability in the Post-Second World War Period

Hileman, Garrick - 2017

This paper examines UK sovereign debt sustainability following the Second World War. Even though the UK in 1946 … default following the Second World War. New archival evidence shows that Britain in fact defaulted multiple times following … the Second World War by failing to fulfil several non-pecuniary terms of the Anglo-American Financial Agreement. Several …

Persistent link: https://www.econbiz.de/10012968878

Risk Profiles for Re-Profiling the Sovereign Debt of Crisis Countries

Consiglio, Andrea - 2016

This paper uses a risk-management approach to re-profile the sovereign debt of countries facing debt crises. Using scenario analysis we develop a risk measure of the sovereign's debt -- Conditional Debt-at-Risk -- and an optimization model is used to trace risk profiles that tradeoff expected...

Persistent link: https://www.econbiz.de/10013005957

Sovereign Default Risk and Climate Change : Is it Hot Enough ?

Diarra, Ibrahima; Jaber, Adham - 2022

We estimate the effects of temperature anomalies – temperature’s deviation from its long-run mean – on sovereign default risk and explore the transmission channels. We use cross-country panel data covering 76 countries over the period 1999-2017. Our results suggest that an increase of...

Persistent link: https://www.econbiz.de/10013492460