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Borrowing Costs After Sovereign Debt Relief

Lang, Valentin; Mihalyi, David; Presbitero, Andrea - 2021

Can debt moratoria help countries weather negative shocks? We study the bond market effects of an official debt service … suspension endorsed by the international community during the Covid-19 pandemic. Using daily data on sovereign bond spreads and …

Persistent link: https://www.econbiz.de/10013245999

News, sovereign debt maturity, and default risk

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

estimation, a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor … productivity. A quantitative model of news and sovereign debt default with endogenous maturity choice generates impulse responses … precision of news allows the government to improve its debt maturity management, especially during periods of high stress in …

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

Sovereign bond spreads and credit sensitivity

Schefer, Ricardo - 2020

Expectations of risky bond payments are unobservable and recovery rates for sovereigns are hard to estimate because …

Persistent link: https://www.econbiz.de/10012307696

The Bribe Rate and Long Run Differences in Sovereign Borrowing Costs

Cotoc, Jonny; Johri, Alok - 2021

The average cost of borrowing on international financial markets varies widely from nation to nation even after controlling for the varying levels of indebtedness of their governments. This suggests that markets assign country specific default risk assessments. In this paper we focus on one...

Persistent link: https://www.econbiz.de/10013241193

Numerical Fiscal Rules for Economic Unions : The Role of Sovereign Spreads

Hatchondo, Juan; Martinez, Leonardo; Roch, Francisco - 2022

We study gains from introducing a common numerical fiscal rule in a “Union” of model economies facing sovereign default risk. We show that among economies in the Union, there is significant disagreement about the common debt limit the Union should implement: the limit preferred by some...

Persistent link: https://www.econbiz.de/10013306767

Debt Management and Optimal Fiscal Policy with Long Bonds

Faraglia, Elisa - 2013

of maturity N > 1. We find that many features of optimal policy are sensitive to the introduction of long bonds, in … in the market until maturity, we find two additional reasons why taxes are volatile due to debt management concerns: debt …

Persistent link: https://www.econbiz.de/10013090818

Does Sovereign Risk in Local and Foreign Currency Differ?

Amstad, Marlene - 2018

Historically, sovereign debt in local currency has been considered safer than debt in foreign currency. Yet the literature offers scant theoretical or empirical guidance as to why such a gap exists, or why it appears to have slowly and steadily diminished for all regions over the past two...

Persistent link: https://www.econbiz.de/10012924033

Sovereign Defaults by Currency Denomination

Jeanneret, Alexandre - 2018

This paper explores the drivers of sovereign defaults in 100 countries over the period 1996-2012. We build a new data set of sovereign defaults and find that default events on local and foreign currency bonds are equally likely. However, governments default under different economic and financial...

Persistent link: https://www.econbiz.de/10012938192

The Output Costs of Hard and Soft Sovereign Default

Trebesch, Christoph - 2016

How costly are sovereign debt crises? In this paper we study output losses during sovereign default and debt renegotiation episodes since 1980. In contrast to previous work, we account for the severity of default and not only for its occurrence. Specifically, we distinguish between “hard”...

Persistent link: https://www.econbiz.de/10012978462

Debt maturity without commitment

Niepelt, Dirk - 2008

I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of …-term debt affects default and rollover decisions by subsequent policy makers. The equilibrium maturity structure is shaped by … maturity structure with positive gross positions and a shortening of the maturity structure when debt issuance is high, output …

Persistent link: https://www.econbiz.de/10003803574