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Sovereign contagion in Europe : evidence from the CDS market

Manasse, Paolo; Zavalloni, Luca - 2013

This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent a country's vulnerability to contagion depends on "fundamentals" as opposed the government's "credibility"? We look at the empirical evidence on European sovereigns CDS spreads...

Persistent link: https://www.econbiz.de/10011731038

Drivers of Sovereign Recovery Risk

Müller, Marcel - 2020

What determines the recovery of sovereign bond holders in the face of a credit event? This paper studies empirical determinants for sovereign recovery risk. Guided by theoretically backed hypotheses we use a sample of 102 past restructurings and empirically test the relation between haircut...

Persistent link: https://www.econbiz.de/10012856237

The Euro Sovereign Debt Crisis, Determinants of Default Probabilities and Implied Ratings in the CDs Market : An Econometric Analysis

Santos, Carlos - 2011

markets to domestic saving rates. Overall, the different methodologies support the conclusion that the domestic savings rate …. When looking at the Portuguese Case it seems clear that public policies that fail to take savings into proper account shall … always be deemed to fail, as the country had the lowest net savings rate in the EU27 in 2008, followed closely by Greece …

Persistent link: https://www.econbiz.de/10013124110

Optimal Domestic (and External) Sovereign Default

D'Erasmo, Pablo N.; Mendoza, Enrique G. - 2017

Infrequent but turbulent episodes of outright sovereign default on domestic creditors are considered a ?forgotten history? in macroeconomics. We propose a heterogeneous- agents model in which optimal debt and default on domestic and foreign creditors are driven by distributional incentives and...

Persistent link: https://www.econbiz.de/10014120648

Optimal Domestic (And External) Sovereign Default

D'Erasmo, Pablo N.; Mendoza, Enrique G. - 2016

Infrequent but turbulent episodes of outright sovereign default on domestic creditors are considered a “forgotten history” in Macroeconomics. We propose a heterogeneous-agents model in which optimal debt and default on domestic and foreign creditors are driven by distributional incentives...

Persistent link: https://www.econbiz.de/10014124263

Sovereign default risk premia and state-dependent twin deficits : conference paper

Hürtgen, Patrick; Rühmkorf, Ronald - 2013 - This version: August 7, 2013

This paper studies the impact of the state-dependent risk of a government default on the correlation of the scal balance and current account. We use a small open economy model where nonlinear risk premia arise endogenously when the government operates close to its scal limit, i.e. the maximum...

Persistent link: https://www.econbiz.de/10010341080

News, sovereign debt maturity, and default risk

Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2018

Leading into a debt crisis, interest rate spreads on sovereign debt rise before the economy experiences a decline in productivity, suggesting that news about future economic developments may play an important role in these episodes. In a VAR estimation, a news shock has a larger contemporaneous...

Persistent link: https://www.econbiz.de/10011950496

Arbitrage in International Sovereign Debt Markets? Evidence from the Inflation Protected Securities of Six Countries

Kita, Arben - 2019

We consider an arbitrage strategy which exactly replicates the cash flow of a sovereign nominal bond using inflation swaps and inflation-linked bonds. The strategy reveals a violation of the law of one price in the G7 countries which is largest for the eurozone. Testing the strategy's exposure...

Persistent link: https://www.econbiz.de/10012857785

The Costs of (Sub)Sovereign Default Risk : Evidence from Puerto Rico

Chari, Anusha - 2020

Puerto Rico's unique characteristics as a U.S. territory allow us to examine the channels through which (sub)sovereign default risk can have real effects on the macroeconomy. Post-2012, during the period of increased default probabilities, the cointegrating relationship between real activity in...

Persistent link: https://www.econbiz.de/10012852778

The Costs of (Sub)Sovereign Default Risk : Evidence from Puerto Rico

Chari, Anusha - 2017

Persistent link: https://www.econbiz.de/10012942032