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Domestic Debt Structures in Emerging Markets : New Empirical Evidence
Mehl, Arnaud; Reynaud, Julien - HAL - 2008
This paper explains why public domestic debt composition in emerging economies can be risky, namely in foreign currency …, with a short maturity or indexed. It analyses empirically the determinants of these risk sources separately, developing a … risk. Only inflation impacts all types of risky debt, underscoring the overarching importance of monetary credibility to …
Persistent link: https://www.econbiz.de/10010738563
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The determinants of "domestic" original sin in emerging market economies
Reynaud, Julien; Mehl, Arnaud - Money Macro and Finance Research Group - 2007
This paper explains why domestic debt composition in some emerging economies is risky. To this end, it carries out a … measure of financial vulnerabilities arising from domestic debt composition, which encompasses maturity mismatches, rollover … risk and interest payment contingency. The paper builds on a large dataset compiled by the authors from national sources …
Persistent link: https://www.econbiz.de/10004975712
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Quantitative properties of sovereign default models: solution methods
Hatchondo, Juan Carlos; Martinez, Leonardo; Sapriza, Horacio - In: Review of Economic Dynamics 13 (2010) 4, pp. 919-933
We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of...
Persistent link: https://www.econbiz.de/10008455309
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A New Index of Currency Mismatch and Systemic Risk
Rancière, Romain; Tornell, Aaron; Vamvakidis, Athanasios - C.E.P.R. Discussion Papers - 2011
unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they … lend to borrowers that will not be able to repay in the event of a sharp depreciation. Such systemic risk taking is not …
Persistent link: https://www.econbiz.de/10008854496
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How Should We Bank With Foreigners?—An Empirical Assessment of Lending Behavior of International Banks to Six East Asian Economies
Pontines, Victor; Siregar, Reza Y. - East Asian Bureau of Economic Research (EABER) - 2012
The possible crucial role of international bank lending in transmitting adverse economic disturbance from developed economies to emerging economies in the 2008–2009 global financial crisis has placed capital flows into sharper scrutiny in academic and policy discussions. The...
Persistent link: https://www.econbiz.de/10011278020
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How Should We Bank With Foreigners?—An Empirical Assessment of Lending Behavior of International Banks to Six East Asian Economies
Pontines, Victor; Siregar, Reza Y. - East Asian Bureau of Economic Research (EABER) - 2012
The possible crucial role of international bank lending in transmitting adverse economic disturbance from developed economies to emerging economies in the 2008–2009 global financial crisis has placed capital flows into sharper scrutiny in academic and policy discussions. The...
Persistent link: https://www.econbiz.de/10011278114
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The Financial Crisis and European Emerging Economies
Èihák, Martin; Mitra, Srobona - In: Czech Journal of Economics and Finance (Finance a uver) 59 (2009) 6, pp. 541-553
The crisis has affected all European economies, but it has also brought into relief the substantial differentiation across the region. The authors demonstrate that it has put an increased premium on sound macroeconomic and macroprudential policies: economies with lower inflation, smaller current...
Persistent link: https://www.econbiz.de/10008480577
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Sovereign default and macroeconomic tipping points
Joy, Mark - Central Bank of Ireland - 2012
This paper examines the impact of macroeconomic fundamentals on the probability of sovereign default and the probability of exit from default while allowing explicitly for model uncertainty. Model uncertainty is addressed by employing Bayesian model-averaging techniques, averaging over a very...
Persistent link: https://www.econbiz.de/10010601988
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Securities Market ATSs Concepts, their Roles and Related Policy Issues.
Korhonen, K. - 2001
The aim of this paper is to clarify the concept of alternative trading systems (ATS) and to present an interpretation of their role in the securities markets. The discussion focuses on trading venues related to debt instruments and equities. Geographically, the American and European markets are...
Persistent link: https://www.econbiz.de/10005474809
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International Credit Flows and Pecuniary Externalities
Brunnermeier, Markus K; Sannikov, Yuliy - C.E.P.R. Discussion Papers - 2015
This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too...
Persistent link: https://www.econbiz.de/10011145431