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History Remembered : Optimal Sovereign Default on Domestic and External Debt

D'Erasmo, Pablo - 2018

. Calibrated to Eurozone data, the model is consistent with key long-run and debt-crisis statistics. Defaults are rare (1.2 percent …

Persistent link: https://www.econbiz.de/10012911227

Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default

D'Erasmo, Pablo - 2020

Europe's debt crisis resembles historical episodes of outright default on domestic public debt about which little research exists. This paper proposes a theory of domestic sovereign default based on distributional incentives affecting the welfare of risk-averse debt and non debtholders. A...

Persistent link: https://www.econbiz.de/10012856013

History Remembered : Optimal Sovereign Default on Domestic and External Debt

D'Erasmo, Pablo - 2019

. Calibrated to Eurozone data, the model is consistent with key long-run and debt-crisis statistics. Defaults are rare (1.2 percent …

Persistent link: https://www.econbiz.de/10012860552

Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default

D'Erasmo, Pablo - 2016

Persistent link: https://www.econbiz.de/10012985459

Regime-Dependent Sovereign Risk Pricing During the Euro Crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2021

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regimeswitches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10013248886

Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …

Persistent link: https://www.econbiz.de/10011731038

Regime-dependent sovereign risk pricing during the euro crisis

Delatte, Anne-Laure; Fouquau, Julien; Portes, Richard - 2016

Previous work has documented a greater sensitivity of long-term government bond yields to fundamentals in Euro area stress countries during the euro crisis, but we know little about the driver(s) of regime-switches. Our estimates based on a panel smooth threshold regression model quantify and...

Persistent link: https://www.econbiz.de/10011974869

Current Sovereign Debt Crisis in Eurozone Countries

Kibritçioğlu, Aykut - Volkswirtschaftliche Fakultät, … - 2011

The sovereign debt crisis that deepened within the last three years in particular Eurozone countries makes up one of …

Persistent link: https://www.econbiz.de/10009323468

Eurozone Sovereign Contagion : Evidence from the CDS Market (2005–2010)

Kalbaska, Alesia - 2017

the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …

Persistent link: https://www.econbiz.de/10012965163

Eurozone sovereign contagion: Evidence from the CDS market (2005–2010)

Kalbaska, A.; Gątkowski, M. - In: Journal of Economic Behavior & Organization 83 (2012) 3, pp. 657-673

the Eurozone. The adjusted correlation analysis confirms that Greece and other PIIGS (even Spain and Italy) have lower …

Persistent link: https://www.econbiz.de/10011048091