can reduce a country’s default-risk spreads …

approach is based on a novel sovereign credit risk model accounting for the joint dynamics of debt, the fiscal limit, and bond … nonlinear sensitivities of credit spreads to fiscal conditions. We also obtain sizeable estimates of sovereign credit risk … premiums – the components of sovereign spreads that would not exist if agents were risk-neutral …

the U.S. would experience a sudden stop of capital flows, which would unavoidably drag the world economy into a deep … instead that the root imbalance was of a different kind: The entire world had an insatiable demand for safe debt instruments … of exposing the economy to a systemic panic. This structural problem can be alleviated if governments around the world …

We study sovereign debt and default policies when credit and liquidity risk are jointly determined. To account for both …

freezes in response to shocks to the risk bearing capacity of market makers while investor rebalancing is triggered by wealth …

This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for … redenomination risk from the yield spreads between these two types of bonds. Redenomination risk primarily shows up at the short end … -2% for Germany. The ECB's interventions designed to reduce the risk of a breakup successfully did so for Italy, but …

sovereign risk factor, a European sovereign risk factor and a Financial intermediaries risk factor. Our main findings are as …