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Sovereign Default, Debt Restructuring, and Recovery Rates: Was the Argentinean “Haircut” Excessive?

Edwards, Sebastian - National Bureau of Economic Research (NBER) - 2015

I use data on 180 sovereign defaults to analyze what determines the recovery rate after a debt restructuring process. Why do creditors recover, in some cases, more than 90%, while in other cases they recover less than 10%? I find support for the Grossman and Van Huyk model of “excusable...

Persistent link: https://www.econbiz.de/10011185007

Sovereign Debt Markets in Turbulent Times: Creditor Discrimination and Crowding-Out Effects

Broner, Fernando; Erce, Aitor; Martin, Alberto; … - National Bureau of Economic Research (NBER) - 2013

In 2007, countries in the euro periphery were enjoying stable growth, low deficits, and low spreads. Then the financial crisis erupted and pushed them into deep recessions, raising their deficits and debt levels. By 2010, they were facing severe debt problems. Spreads increased and,...

Persistent link: https://www.econbiz.de/10010821965

Measuring Sovereign Contagion in Europe

Pelizzon, Loriana; Rigobon, Roberto; Caporin, Massimiliano - National Bureau of Economic Research (NBER) - 2013

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major …

Persistent link: https://www.econbiz.de/10010796746

Evidence for Relational Contracts in Sovereign Bank Lending

Benczur, Peter; Ilut, Cosmin L. - National Bureau of Economic Research (NBER) - 2014

spreads (a "punishment" effect in prices) from an indirect effect through higher expected future default probabilities ("loss … of reputation"). Such a punishment provides positive surplus to lenders after a default and decreases the borrower …

Persistent link: https://www.econbiz.de/10010890105

Systemic Risks in Global Banking: What Available Data can tell us and What More Data are Needed?

Claessens, Stijn; McGuire, Patrick M.; Cerutti, Eugenio - National Bureau of Economic Research (NBER) - 2012

The recent financial crisis has shown how interconnected the financial world has become. Shocks in one location or asset class can have a sizable impact on the stability of institutions and markets around the world. But systemic risk analysis is severely hampered by the lack of consistent data...

Persistent link: https://www.econbiz.de/10010969212

Conditional Risk Premia in Currency Markets and Other Asset Classes

Lettau, Martin; Maggiori, Matteo; Weber, Michael - National Bureau of Economic Research (NBER) - 2013

The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....

Persistent link: https://www.econbiz.de/10010969442

Why Has Japan's Massive Government Debt Not Wreaked Havoc (Yet)?

Horioka, Charles Yuji; Hagiwara, Akiko Terada-; Nomoto, … - National Bureau of Economic Research (NBER) - 2013

In this paper, we present data on trends over time in government debt financing in Japan since 2010 with emphasis on the importance of foreign holders and speculate about the determinants of those trends. We find that Japanese government securities were held primarily by domestic holders until...

Persistent link: https://www.econbiz.de/10010951434

Crisis and Commitment: Inflation Credibility and the Vulnerability to Sovereign Debt Crises

Aguiar, Mark; Amador, Manuel; Farhi, Emmanuel; … - National Bureau of Economic Research (NBER) - 2013

punishment of default. With high inflation credibility, which can be interpreted as joining a monetary union or issuing foreign … crisis a government may opt to inflate away a fraction of the debt burden rather than explicitly default. This flexibility … inflate in the absence of crisis. This latter channel raises the cost of debt in tranquil periods and makes default more …

Persistent link: https://www.econbiz.de/10010951477

Financial Reforms and Capital Flows: Insights from General Equilibrium

Martin, Alberto; Ventura, Jaume - National Bureau of Economic Research (NBER) - 2012

As a result of debt enforcement problems, many high-productivity firms in emerging economies are unable to pledge enough future profits to their creditors and this constrains the financing they can raise. Many have argued that, by relaxing these credit constraints, reforms that strengthen...

Persistent link: https://www.econbiz.de/10010581042

The End of Gatekeeping: Underwriters and the Quality of Sovereign Bond Markets, 1815-2007

Flandreau, Marc; Flores, Juan H.; Gaillard, Norbert; … - National Bureau of Economic Research (NBER) - 2009

We provide a comparison of salient organizational features of primary markets for foreign government debt over the very long run. We focus on output, quality control, information provision, competition, pricing, charging, and signaling. We find that the market setup experienced a radical...

Persistent link: https://www.econbiz.de/10005039681