This paper examines how domestic holdings of government debt affect sovereign default risk and government debt management. I develop a dynamic stochastic general equilibrium model with both external and domestic debt that endogenously generates output contraction upon default. Domestic holdings...

We analyze the impact of the financial crisis on the structure and the dynamics of the Italian inter-bank market, focusing on monthly banks� assets and liabilities data between January 2007 and December 2010. The analysis is developed using an ad hoc dataset based on supervisory reports....

How does sovereign risk affect investors' behavior? We answer this question using a novel database that combines sovereign default probabilities for 27 developed and emerging markets with monthly data on the portfolios of individual bond mutual funds. We first show that changes in yields do not...