This paper explores the link between default risk and fiscal procyclicality. We show that countries with higher … sovereign risk have a more procyclical fiscal expenditure policy, which is driven mostly by transfers. We build a small open … economy model with income inequality, social transfers, and default risk to rationalize this fact. Without default risk …

sovereign to corporate risk, among other considerations. …

the financial position of firms’ balance sheets, increasing lenders’ risk perception. I use Bayesian techniques and data …

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …