Interest-rate spreads fluctuate widely across time and countries. We characterize their behavior using some 3,200 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Before the financial crisis, spreads are 10 times more volatile in emerging economies than in...

We explore how changes in capital-based macroprudential regulation affect theexposure of national banking sectors to domestic government debt in the euro area,thus strengthening or weakening the sovereign-bank nexus. To do so, we construct ameasure of macroprudential policy based on...

Over the last decade, the South African economy has endured prevailing economic challenges, including weak economic growth, unreliable electricity supply, rising fiscal deficits, declining investment inflows and the inexorable rise in government debt alongside the expected impact of the...

The exposure of European Union sovereigns to climate risks can be acute, from extreme weather, or chronic, from the productivity effects of gradual temperature increase, increased sea levels and the transition to a low-carbon economy that results in repricing of assets. Climate-related...

This paper studies whether countries benefit from servicing their debts during times of widespread sovereign defaults. Colombia is typically regarded as the only large Latin American country that did not default in the 1980s. Using archival research and formal econometric estimates of Colombia's...

This paper analyzes the impact of bilateral investment treaties (BITs) on sovereign bond returns of 25 emerging markets from 1993 to 2016. Under a BIT, foreign investors can use an international arbitration scheme to enforce compensation claims against the domestic government in case of direct...

This paper studies the effect of implementing fiscal rules on sovereign default risk and on the probability of large capital ow reversals for a large sample of countries including both developed and emerging market economies. Results indicate that fiscal rules are beneficial for macroeconomic...

Between 1986 and 2003 the Argentine risk premium was able to explain, almost alone, the Argentine business cycle. As time went by, the premium lost gradually its explanatory power till losing it all between 2011 and 2019. Meanwhile, a huge increase in public expenditure might have triggered a...

Country Risk (CR) is a relevant instrument to analyze and understand economic performances and relationships between different countries in the actual economic and political international globalized context. The present work develops indexes for the European Union countries by applying three...

This paper examines the role of sovereign default beliefs for macroeconomic fluctuations and stabilization policy in a small open economy where fiscal solvency is a critical problem. We set up and estimate a DSGE model on Turkish data and show that accounting for sovereign risk significantly...

This work assesses whether certain indicators constructed from unstructured information published in newspapers contain useful information regarding dynamics of Argentina's country risk volatility, estimated from a GARCH(1,1) model. The analysis covers the period 1998-2019. One standard...

Country Risk (CR) is a relevant instrument to analyze and understand economic performances and relationships between different countries in the actual economic and political international globalized context. The present work develops indexes for the European Union countries by applying three...

International debt investors increasingly demand assets that are aligned with environmental, social and governance objectives. Sovereign debt is being belatedly swept up in this change. This huge asset class represents a uniquely long-term claim and funds a wide range of public expenditure, both...

We explore how changes in capital-based macroprudential regulation in the euro area affect the exposure of national banking sectors to domestic government debt, thus strengthening or weakening the sovereign-bank nexus. To do so, we construct a measure of macroprudential policy based on the...

I analyze the impact of austerity on sovereign spreads. To do so I propose a model with strategic sovereign default and nominal rigidities where the government follows fiscal rules, which are estimated from data. I first analyze the theoretical implications of the model and find that austerity...

The paper aims to present some risks and consequences of the indebtedness of an economy. The article is based on the results of a research project and it describes the negative effects of a high level of indebtedness of an economy, the elements that influence the risks of an economy's...

This paper studies whether countries benefit from servicing their debts during times of widespread sovereign defaults. Colombia is typically regarded as the only large Latin American country that did not default in the 1980s. Using archival research and formal econometric estimates of Colombia's...

Creditworthiness is acknowledged worldwide as focal point of debt processing. Credit Rate, an output of credit-rating process, reflects such creditworthiness. We reviewed literature on elements of credit rating, viz. Credit Rate, credit-rating agencies (CRAs) and credit-rating model. Credit...

This paper analyzes tax competition between countries which differ in their country-specific risk. We show that the outcome of asymmetric tax competition crucially depends on the ability of multinational firms to shift profits. With high costs of profit shifting, higher-risk countries set lower...

This study examines whether country-specific risk attenuates the association between tax policies and corporate risk-taking. We define country-specific risk (political and fiscal budget risk) as taxpayer's risk that tax refunds on losses cannot be paid due to the institutional environment or...

Interest-rate spreads fluctuate widely across time and countries. We illustrate this on the basis of about 3,100 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Prior to the financial crisis, spread fluctuations in advanced economies are an order of...

Interest-rate spreads fluctuate widely across time and countries. We characterize their behavior using some 3,200 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Before the financial crisis, spreads are 10 times more volatile in emerging economies than in...

In this paper, we use a rich dataset of several countries to analyze how sound political measures affect cross-border bank flows. Furthermore, our work is the first to comprehensively examine various components of political stability on the aforementioned subject using a larger sample than...

Low-income developing countries (LIDCs) are greatly affected by the coronavirus pandemic, and sovereign debt has become a major concern. The International Monetary Fund (IMF) already classified 44% of LIDCs as being in debt distress or at risk of it before the Covid-19 crisis began. One major...