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Silgado-Gómez, Edgar - 2020

This paper investigates the transmission of uncertainty about the state of government finances on economic activity. I first employ a data-rich approach to extract a novel proxy that captures uncertainty surrounding the public finances of the Spanish economy, to which I refer as sovereign...

Persistent link: https://www.econbiz.de/10012846834

The anatomy of sovereign risk contagion

Wu, Eliza; Erdem, Magdalena; Kalotychou, Elena; … - In: Journal of international money and finance 69 (2016), pp. 264-286

Persistent link: https://www.econbiz.de/10011712035

Reputation Spillover Across Relationships with Enduring and Transient Beliefs : Reviving Reputation Models of Debt

Cole, Harold L.; Kehoe, Patrick J. - 2021

A traditional explanation for why sovereign governments repay debts is that they want to keep good reputations so they can easily borrow more. Bulow and Rogoff show that this argument is invalid under two conditions: (i) there is a single debt relationship, and (ii) regardless of their past...

Persistent link: https://www.econbiz.de/10013221519

Reputation Spillover Across Relationships with Enduring and Transient Beliefs : Reviving reputation Models of Debt

Cole, Harold L. - 1996

Persistent link: https://www.econbiz.de/10012473373

Global Risk in Long-Term Sovereign Debt

Borri, Nicola - 2020

that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk …, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine …

Persistent link: https://www.econbiz.de/10012853298

Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt

Roch, Francisco; Roldán, Francisco - 2022

We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond...

Persistent link: https://www.econbiz.de/10014030625

Risk Management in the Face of Risky Sovereign Debt : Four Observations

Wilson, Thomas C. - 2014

://ssrn.com/abstract=2420000" Sovereign Risk: A World Without Risk-Free Assets? …This paper was presented at the panel session entitled “Risk managers on default probability for prime sovereigns …”, held during the seminar on sovereign risk hosted by the BIS in January 2013.Full publication: "http …

Persistent link: https://www.econbiz.de/10013049991

The Price of Risk in Sovereign Latin-American Debt : A Term-Structure Perspective

Audzeyeva, Alena - 2014

default risk component and the residual risk premium for Eurobonds of Mexico, Colombia and Brazil. We find that the risk … countries. The predominantly large, non-flat risk premium curve considerably modifies the yield spread term-structure which is … implied by expected default losses. The risk premium and also its share within the yield spread both however vary considerably …

Persistent link: https://www.econbiz.de/10013060723

Uncertainty premia, sovereign default risk, and state-contingent debt

Roch, Francisco; Roldán, Francisco - In: Journal of political economy macroeconomics 1 (2023) 2, pp. 334-370

Persistent link: https://www.econbiz.de/10014387944

Private overborrowing under sovereign risk

Arce, Fernando - In: Journal of political economy macroeconomics 2 (2024) 4, pp. 553-601

Persistent link: https://www.econbiz.de/10015154178