Showing 1 - 9 of 9
to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major … and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our …
Persistent link: https://www.econbiz.de/10012159952
Sovereign debt crises are difficult to solve. This paper studies the "holdout problem", meaning the risk that creditors …
Persistent link: https://www.econbiz.de/10012150129
Sovereign debt crises are difficult to solve. This paper studies the "holdout problem", meaning the risk that creditors …
Persistent link: https://www.econbiz.de/10012405397
for currency risk, liquidity risk, and term structure. Foreign-law bonds indeed carry significantly lower yields in … distress periods, and this effect rises as the risk of a sovereign default increases. These results indicate that, in times of …
Persistent link: https://www.econbiz.de/10011872936
for currency risk, liquidity risk, and term structure. Foreign-law bonds indeed carry significantly lower yields in … distress periods, and this effect rises as the risk of a sovereign default increases. These results indicate that, in times of …
Persistent link: https://www.econbiz.de/10011880111
for currency risk, liquidity risk, and term structure. Foreign-law bonds indeed carry significantly lower yields in … distress periods, and this effect rises as the risk of a sovereign default increases. These results indicate that, in times of …
Persistent link: https://www.econbiz.de/10011864183
We study central bank interventions in times of severe distress (mid-2010), using a unique bond-level dataset of ECB purchases of Greek sovereign debt. ECB bond buying had a large impact on the price of short and medium maturity bonds, resulting in a remarkable "twist" of the Greek yield curve....
Persistent link: https://www.econbiz.de/10011789289
This paper analyses the determinants and effects of ECB interventions in times of severe distress. We focus on the Greek government bond market in mid-2010 and use a unique new dataset to show, for the first time, what type of bonds the ECB bought. We then explore the short-term effects of ECB...
Persistent link: https://www.econbiz.de/10010337515
Africa’s sovereign debt markets are not well understood, partly due to a lack of data. This paper introduces the Africa Debt Database (ADD), the most granular and comprehensive dataset on external borrowing by African governments thus far. Our project moves beyond existing aggregate datasets...
Persistent link: https://www.econbiz.de/10013171559