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News, sovereign debt maturity, and default risk
Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2018
-term debt does not shield the country from bad news shocks, and it may even exacerbate default risk. Finally, an increase in the …
Persistent link: https://www.econbiz.de/10011950496
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Policy interventions in sovereign debt restructurings
Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2019
The wave of sovereign defaults in the early 1980s and the string of debt crises in the decades that followed have fostered proposals involving policy interventions in sovereign debt restructurings. A key question about these proposals that has proved hard to handle is how they in influence the...
Persistent link: https://www.econbiz.de/10012139015
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Sovereign debt restructurings
Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2018
Sovereign debt crises involve debt restructurings characterized by a mix of face-value haircuts and maturity extensions. The prevalence of maturity extensions has been hard to reconcile with economic theory. We develop a model of endogenous debt restructuring that captures key facts of sovereign...
Persistent link: https://www.econbiz.de/10011911551
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Determinants of the public debt and the role of the natural resources : a cross-country analysis
Sadik-Zada, Elkhan; Gatto, Andrea - 2019
This paper investigates the major drivers of the public debt growth in 184 countries. Our analysis consists in a cross-country survey, which is conducted on the basis of the improved compilation of datasets on the central government debt for 2013. In order to differentiate between...
Persistent link: https://www.econbiz.de/10011980713
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Trade in commodities and business cycle volatility
Kohn, David; Leibovici, Fernando; Tretvoll, Hakon - 2018
This paper studies the role of differences in the patterns of production and international trade on the business cycle volatility of emerging and developed economies. We study a multi-sector small open economy in which firms produce and trade commodities and manufactures. We estimate the model...
Persistent link: https://www.econbiz.de/10011911446
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Resource curse or blessing? : sovereign risk in resource-rich emerging economies
Hamann S., Franz A.; Mendoza, Enrique G.; … - 2018
risk and macroeconomic performance of oil-exporting economies. We show that even though being a bigger oil producer … risk by making autarky more attractive. We develop a small open economy model of sovereign risk with incomplete …
Persistent link: https://www.econbiz.de/10011950480
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Developing India's offshore local currency bond market : lessons from emerging countries
Kohli, Renu; Sahoo, Pravakar; Shuheb Khan, M. - 2017
After the 2008 financial crisis, macroeconomic positions and growth prospects weakened in the advanced economies; emerging market economies (EMEs) improved however. Offshore, local-currency bonds of EMEs became popular as result, with many EMEs exploiting the opportunity. India also launched its...
Persistent link: https://www.econbiz.de/10011708308
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Pricing default risk : the good, the bad, and the anomaly
Ferreira Filipe, Sara; Grammatikos, Theoharry; Michala, … - 2014
While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …
Persistent link: https://www.econbiz.de/10011861135
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Heterogeneous beliefs, regret, and uncertainty : the role of speculation in energy price dynamics
Joe͏̈ts, Marc - 2013
This paper proposes to investigate the impact of financialization on energy markets (oil, gas, coal and electricity European forward prices) during both normal times and extreme fluctuation periods through an original behavioral and emotional approach. To this aim, we propose a new theoretical...
Persistent link: https://www.econbiz.de/10009737191
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Uncertainty and stock returns in energy markets: a quantile regression approach
Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021
The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...
Persistent link: https://www.econbiz.de/10012510024