We explore the interactions between exchange rate and fiscal policy, and default on external debt. Exchange rate policy … government to set the exchange rate at a level in which partial default occurs. In this case multiple equilibria exist, with one … featuring high interest rate, overvalued exchange rate, low level of output, and default. Default is also an equilibrium under a …

default of five European “peripheral” countries during January 2006 to September 2011 with a panel smooth threshold regression …

Default on sovereign debt is a form of political risk. Issuers and creditors have responded to this risk both by …

to the risk of default, which is a collective risk. The possibility of default represents endogenous uncertainty, since … existence of a general equilibrium with default, in which the agents recontract trading positions and prices in the states of … default (Theorem 1). We establish the existence of an open set of general equilibrium economies, called complex economies, in …

conventional conforming mortgages. We test the extent to which exercise of prepayment and default options differ across groups. In … history and some other variables, LIMMs default slightly more frequently and have about the same loss severity as other loans … differences in prepayment speed on price approximately cancels out the effect of the higher incidence of default. …

of sovereign default risk. International borrowing and lending arise from the interaction between a risk averse sovereign … lenders. The credit market is imperfect because the country cannot commit to repay its outstanding debt and chooses to default … when it is optimal to do so. The possibility of default induces an endogenous sovereign risk premium on foreign debt and …

This paper contains a General Equilibrium model of an economy with Incomplete Markets (GEI) with money and default. The … allows for positive default levels in equilibrium. It also characterises contagion and financial fragility as an equilibrium …

optimally prepay or even default on agricultural mortgages. The model is used to quantify prepayment and default risk by valuing …