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The Economics of Sovereign Debt, Bailouts and the Eurozone Crisis
Gourinchas, Pierre-Olivier - 2020
Cyprus, Greece, Ireland, Portugal and Spain, ranging from roughly 0.5% (Ireland) to 43% (Greece) of 2011 output during the … recent Eurozone crisis. We propose a model to analyze and understand bailouts in a monetary union, and the large observed … be optimal from the perspective of the creditor country, even ex-ante, if it increases the risk of immediate insolvency …
Persistent link: https://www.econbiz.de/10012481598
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COVID-19 and SME Failures
Gourinchas, Pierre-Olivier - 2020
We estimate the impact of the COVID-19 crisis on business failures among small and medium size enterprises (SMEs) in seventeen countries using a large representative firm-level database. We use a simple model of firm cost-minimization and measure each firm's liquidity shortfall during and after...
Persistent link: https://www.econbiz.de/10012481180
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Bank sovereign bond holdings, sovereign shock spillovers, and moral hazard during the European crisis
Beltratti, Andrea - 2015
From 2010 to 2012, the relation between bank stock returns from European Union (EU) countries and the returns on sovereign CDS of peripheral (GIIPS) countries is negative. We use days with tail sovereign CDS returns of peripheral countries to identify the effects of shocks to the cost of...
Persistent link: https://www.econbiz.de/10012457516
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Internal Debt Crises and Sovereign Defaults
Arellano, Cristina - 2008
In this paper, we use data from developing countries to argue that sovereign defaults are often caused by fiscal pressures generated by large-scale domestic defaults. We argue that these systemic domestic defaults are caused by shocks best interpreted as being non-fundamental. We construct a...
Persistent link: https://www.econbiz.de/10012464852
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Sovereign Debt
Eaton, Jonathan - 1995
We review the literature on sovereign debt. We organize our survey around three central questions: (1) Why do sovereign debtors ever repay their debts? (2) What burdens, in the form of distortions and inefficiencies, does sovereign debt impose? and (3) How might debt be restructured to reduce...
Persistent link: https://www.econbiz.de/10012473755
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Nonlinearities in Sovereign Risk Pricing : The Role of CDS Index Contracts
Delatte, Anne-Laure - 2014
Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be exacerbated by endogenous factors that create nonlinearities? We test for nonlinearities in the sovereign bond market of European peripheral countries during the debt crisis and...
Persistent link: https://www.econbiz.de/10012458679
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COVID-19 and SMEs : A 2021 "Time Bomb"?
Gourinchas, Pierre-Olivier; Kalemli-Ozcan, Sebnem; … - National Bureau of Economic Research - 2021
This paper assesses the prospects of a 2021 time bomb in SME failures triggered by the generous support policies enacted during the 2020 COVID-19 crisis. Policies implemented in 2020, on their own, do not create a 2021 "time-bomb" for SMEs. Rather, business failures and policy costs remain...
Persistent link: https://www.econbiz.de/10012482634
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Quantitative Sovereign Default Models and the European Debt Crisis
Bocola, Luigi - 2018
A large literature has developed quantitative versions of the Eaton and Gersovitz (1981) model to analyze default episodes on external debt. In this paper, we study whether the same framework can be applied to the analysis of debt crises in which domestic public debt plays a prominent role. We...
Persistent link: https://www.econbiz.de/10012480634
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Linkages across Sovereign Debt Markets
Arellano, Cristina - 2013
We develop a multicountry model in which default in one country triggers default in other countries. Countries are linked to one another by borrowing from and renegotiating with common lenders with concave payoffs. A foreign default increases incentives to default at home because it makes new...
Persistent link: https://www.econbiz.de/10012459113
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Contagion in the European Sovereign Debt Crisis
Glover, Brent - 2014
We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...
Persistent link: https://www.econbiz.de/10012458098