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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 …
domestic debt composition, which encompasses maturity mismatches, rollover risk and interest payment contingency. The paper …This paper explains why domestic debt composition in emerging economies is risky. It carries out an analysis of the … investor base are instrumental to reduce domestic debt riskiness and tilt its composition towards safer, long-term, unindexed …
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 …
Using a sample of emerging markets that are integrated into global bond markets, we analyze the collapse and recovery phase of output collapses that coincide with systemic sudden stops, defined as periods of skyrocketing aggregate bond spreads and large capital flow reversals. Our findings...
Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. The purpose of this paper is to investigate the importance of certain credit market imperfections...
explains the sovereign's optimal choice: preemptive restructurings occur when default risk is high ex-ante, while defaults …
explains the sovereign's optimal choice: preemptive restructurings occur when default risk is high ex-ante, while defaults …
This paper investigates the output effects of IMF-supported stabilization programs, especially those introduced at the time of a severe balance of payments/currency crisis. Using a panel data set over the 1975-97 period and covering 67 developing and emerging-market economies (with 461 IMF...
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...
sovereign to corporate risk, among other considerations. …