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Displaying results 1 to 25 of 73.

  1. Pricing sovereign debt in resource rich economies?
    Author: McGregor, Thomas
    Published: [2017]
    Publisher:  Department of Economics, OxCarre (Oxford Centre for the Analysis of Resource Rich Economies), Oxford

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: OxCarre research paper ; 194
    Subjects: Market interest rates; Economic conditions; Financial crises; Real interest rates; Commodity price fluctuations; Risk premium; natural resources; sovereign debt; and default; development; WP; emerge market economy; countercyclical; oil price; inter-temporal; sovereign default
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  2. Exposure to international crises
    trade vs. financial contagion
    Author: Grant, Everett
    Published: [2016]
    Publisher:  European Systemic Risk Board, Frankfurt am Main, Germany

    I identify new patterns in countries' economic performance over the 2007-2014 period based on proximity through distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross-country... more

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    I identify new patterns in countries' economic performance over the 2007-2014 period based on proximity through distance, trade, and finance to the US subprime mortgage and Eurozone debt crisis areas. To understand the causes of the cross-country variation, I develop an open economy model with two transmission channels that can be shocked separately: international trade and finance. The model is the first to include a government and heterogeneous firms that can default independently of one another and has a novel endogenous cost of sovereign default. I calibrate the model to the average experiences of countries near to and far from the crisis areas. Using these calibrations, disturbances on the order of those observed during the late 2000s are separately applied to each channel to study transmission. The results suggest credit disruption as the primary contagion driver, rather than the trade channel. Given the substantial degree of financial contagion, I run a series of counterfactuals studying the efficacy of capital controls and find that they would be a useful tool for preventing similarly severe contagion in the future, so long as there is not capital immobility to the degree that the local sovereign can default without suffering capital flight.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295081604
    Other identifier:
    hdl: 10419/193537
    Series: Working paper series / ESRB, European Systemic Risk Board, European System of Financial Supervision ; no 30 (November 2016)
    Subjects: monetary crisis; economic recession; banking policy; euro area; public debt; economic cycle; macroeconomics; Economic crises; contagion; endogenous costs of default; sovereign default; banking crisis; Great Recession; Eurozone debt crisis
    Scope: 1 Online-Ressource (circa 87 Seiten), Illustrationen
  3. Optimal fiscal rules and macroprudential policies with sovereign default risk
    Author: Maideu-Morera, Gerard
    Published: May 2024
    Publisher:  [Toulouse School of Economics], [Toulouse]

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    Source: Union catalogues
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    Media type: Book
    Format: Online
    Series: Working papers / Toulouse School of Economics ; no 1534
    Subjects: Fiscal rules; macroprudential policy; sovereign default; endogenous borrowing constraints; economic unions
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  4. Monetary policy and sovereign debt vulnerability
    Author: Nuño, Galo; Thomas, Carlos
    Published: 2015
    Publisher:  Banco de España, Madrid

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    Media type: Book
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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1517
    Subjects: monetary- fiscal interactions; discretion; sovereign default; continuous time; optimal stopping
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
    Notes:

    Zusammenfassung in spanischer Sprache
  5. A journey in the history of sovereign defaults on domestic law public debt
    Author: Erce, Aitor; Mallucci, Enrico; Picarelli, Mattia
    Published: September 22, 2021
    Publisher:  Luiss SEP, [Rom]

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    Series: Working paper / Luiss School of European Political Economy ; 2021, 14
    Subjects: Public debt; sovereign default; domestic law; database
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  6. Private overborrowing under sovereign risk
    Author: Arce, Fernando
    Published: [2022]
    Publisher:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    This paper proposes a quantitative theory of the interaction between private and public debt in an open economy. Excessive private debt increases the frequency of financial crises. During such crises the government provides fiscal bailouts financed... more

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    This paper proposes a quantitative theory of the interaction between private and public debt in an open economy. Excessive private debt increases the frequency of financial crises. During such crises the government provides fiscal bailouts financed with risky public debt. This response may cause a sovereign debt crisis, which is characterized by a higher probability of a sovereign default. The model is quantitatively consistent with the evolution of private debt, public debt, and sovereign spreads in Spain from 1999 to 2015, and provides an estimate of the degree of overborrowing, its effect on the spreads, and the optimal macroprudential policy.

     
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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264332
    Series: [Working paper] / Federal Reserve Bank of Chicago ; WP 2022, 17 (December 9, 2021)
    Subjects: Bailouts; credit frictions; €nancial crises; macroprudential policy; sovereign default
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  7. Fear of hiking?
    monetary policy and sovereign risk
    Author: Wolf, Martin; Zessner-Spitzenberg, Leopold
    Published: 01 April 2022
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP16837
    Subjects: monetary policy; Sovereign debt; sovereign default; Spreads; Currency Union; monetary fiscal interaction
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  8. The term structure of interest rates in a heterogeneous monetary union
    Author: Costain, James; Nuño, Galo; Thomas, Carlos
    Published: July 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure... more

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    We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and credit risk components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond-holdings. Calibrating the model to Germany and Italy, we show that a "default risk extraction" channel is the main driver of Italian yields, and that flexibility makes asset purchases more effective.

     
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    Media type: Book
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    Other identifier:
    hdl: 10419/263774
    Series: CESifo working paper ; no. 9844 (2022)
    Subjects: sovereign default; quantitative easing; yield curve; affine model; Covid-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  9. A journey in the history of sovereign defaults on domestic law public debt
    Author: Erce, Aitor; Mallucci, Enrico; Picarelli, Mattia
    Published: [2021]
    Publisher:  UPNA, Universidad Pública de Navarra, [Pamplona]

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    Series: Working paper / Universidad Pública de Navarra, Departamento de Economía ; D.T. 2106
    Subjects: Public debt; sovereign default; domestic law; database
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  10. A journey in the history of sovereign defaults on domestic-law public debt
    Author: Erce, Aitor; Mallucci, Enrico; Picarelli, Mattia
    Published: [2022]
    Publisher:  ESM, Luxembourg

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    Media type: Ebook
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    ISBN: 9789295223141
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    Series: Working paper series / European Stability Mechanism ; 51 (2022)
    Subjects: Public debt; sovereign default; domestic law; database
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  11. Sovereign default and imperfect tax enforcement
    Author: Pappadà, Francesco; Zylberberg, Yanos
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We show that, in many countries, tax compliance is volatile and markedly responds to fiscal policy. To explore the consequence of this novel stylized fact, we build a model of sovereign debt with limited commitment and imperfect tax enforcement.... more

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    We show that, in many countries, tax compliance is volatile and markedly responds to fiscal policy. To explore the consequence of this novel stylized fact, we build a model of sovereign debt with limited commitment and imperfect tax enforcement. Fiscal policy persistently affects the size of the informal economy, which impact future fiscal revenues and thus default risk. This mechanism captures one key empirical regularity of economies with imperfect tax enforcement: the low sensitivity of debt price to fiscal consolidations. The interaction of imperfect tax enforcement and limited commitment strongly constrains the dynamics of optimal fiscal policy. During default crises, high tax distortions force the government towards extreme fiscal policies, notably including costly austerity spells.

     
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    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/201920
    Series: Array ; no. 7694 (June 2019)
    Subjects: sovereign default; imperfect tax enforcement; informal economy; fiscal policy
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  12. Real interest rates, inflation, and default
    Author: Hur, Sewon; Kondo, Illenin; Perri, Fabrizio
    Published: 12 December 2018
    Publisher:  Centre for Economic Policy Research, London

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    Media type: Book
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    Series: Discussion paper series / Centre for Economic Policy Research ; DP13388
    Subjects: Inflation risk; government debt; nominal bonds; sovereign default
    Scope: 51 Seiten, Illustrationen
    Notes:

    Erscheint auch als Online-Ausgabe
  13. Self-fulfilling debt crises, fiscal policy and investment
    Author: Galli, Carlo
    Published: [2019]
    Publisher:  CFM, Centre for Macroeconomics, London

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    Series: CFM discussion paper series ; CFM-DP 2019, 04 (February 2019)
    Subjects: Self-fulfilling debt crises; sovereign default; multiple equilibria; scal austerity
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  14. How diabolic is the sovereign-bank loop?
    the effects of post-default fiscal policies
    Author: Diniz, André Sander; Guimarães, Bernardo
    Published: [2017]
    Publisher:  CFM, Centre for Macroeconomics, London

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    Format: Online
    Series: CFM discussion paper series ; CFM-DP 2017, 05 (January 2017)
    Subjects: financial frictions; fiscal policy; sovereign default; sovereign-bank loop
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  15. International reserves management in a model of partial sovereign default
    Author: Sabbadini, Ricardo
    Published: July 2019
    Publisher:  Banco Central do Brasil, Brasília, DF, Brazil

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    Format: Online
    Series: Working papers / Banco Central do Brasil ; 496
    Subjects: international reserves; sovereign debt; sovereign default; partial default; interest rate spread
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  16. Financial disruption as a cost of sovereign default
    a quantitative assessment
    Author: Diniz, André Sander; Guimarães, Bernardo
    Published: [2014]
    Publisher:  CFM, Centre for Macroeconomics, London

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    Source: Union catalogues
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    Format: Online
    Series: CFM discussion paper series ; CFM-DP 2014, 27 (September 2014)
    Subjects: Financial disruption; sovereign debt; sovereign default; Deleveraging
    Scope: 1 Online-Ressource (circa 31 Seiten)
  17. The seniority structure of sovereign debt
    Author: Schlegl, Matthias; Trebesch, Christoph; Wright, Mark L. J.
    Published: 23 April 2019
    Publisher:  Centre for Economic Policy Research, London

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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP13692
    Subjects: Internationale Staatsschulden; Rückzahlung; Gläubiger; Internationaler Finanzmarkt; sovereign default; Arrears; Insolvency; priority; IMF; official debt; Sovereign bonds; International financial architecture; Pecking order
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  18. Reserve accumulation, macroeconomic stabilization, and sovereign risk
    Author: Bianchi, Javier; Sosa Padilla, César
    Published: 2020
    Publisher:  Federal Reserve Bank of Minneapolis, Minneapolis, MN

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    Series: Working paper / Research Division, Federal Reserve Bank of Minneapolis ; no. 767 (May 2020)
    Subjects: International reserves; sovereign default; macroeconomic stabilization; Fixed exchange rates; ination targeting
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  19. An apocalypse foretold
    climate shocks and sovereign defaults
    Author: Cevik, Serhan; Jalles, João Tovar
    Published: 2020
    Publisher:  International Monetary Fund, [Washington, DC]

    Climate change poses an existential threat to the global economy. While there is a growing body of literature on the economic consequences of climate change, research on the link between climate change and sovereign default risk is nonexistent. We... more

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    Orient-Institut Beirut
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Climate change poses an existential threat to the global economy. While there is a growing body of literature on the economic consequences of climate change, research on the link between climate change and sovereign default risk is nonexistent. We aim to fill this gap in the literature by estimating the impact of climate change vulnerability and resilience on the probability of sovereign debt default. Using a sample of 116 countries over the period 1995-2017, we find that climate change vulnerability and resilience have significant effects on the probability of sovereign debt default, especially among low-income countries. That is, countries with greater vulnerability to climate change face a higher likelihood of debt default compared to more climate resilient countries. These findings remain robust to a battery of sensitivity checks, including alternative measures of sovereign debt default, model specifications, and estimation methodologies

     
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  20. Fiscal regimes and the exchange rate
    Author: Alberola, Enrique; Cantú, Carlos; Cavallino, Paolo; Mirkov, Nikola
    Published: 2021
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Media type: Book
    Format: Online
    Edition: Current draft: June 7, 2021
    Series: BIS working papers ; no 950 (June 2021)
    Subjects: exchange rate; monetary policy; scal policy; scal dominance; sovereign default
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  21. Predicting fiscal crises
    a machine learning approach
    Author: Hellwig, Klaus-Peter
    Published: May 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb.... more

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    In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random forest, gradient boosted trees) deliver significant improvements in accuracy. Performance of machine learning techniques improves further, particularly for developing countries, when I expand the set of potential predictors and make use of algorithmic selection techniques instead of relying on a small set of variables deemed important by the literature. There is considerable agreement across learning algorithms in the set of selected predictors: Results confirm the importance of external sector stock and flow variables found in the literature but also point to demographics and the quality of governance as important predictors of fiscal crises. Fiscal variables appear to have less predictive value, and public debt matters only to the extent that it is owed to external creditors

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513573588
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    Series: IMF working paper ; WP/21, 150
    Subjects: Early warning systems; sovereign default; random forest; Foreign Exchange; Informal Economy; Underground Econom; Macroeconomics; Economics: General; International Economics; Economic & financial crises & disasters; Economics of specific sectors; Currency crises; Informal sector; Economics
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  22. Default costs and self-fulfilling fiscal limitsin a small open economy
    Author: Pekarski, Sergey E.; Sokolova, Anna
    Published: February 2021
    Publisher:  National Research University, Higher School of Economic, [Moscow]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 243/EC/2021
    Subjects: sovereign default; default costs; fiscal limit; multiple equilibria
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  23. The IMF's role in sovereign debt restructurings
    Published: [September 2021]
    Publisher:  European Central Bank ; IRC Task Force on IMF and Global Financial Governance Issues, Frankfurt am Main, Germany

    The global recession caused by the COVID-19 pandemic and the resulting deterioration in many countries' public finances have increased the risk of sovereign debt crises. Although crisis prevention remains paramount, these developments have made it... more

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    The global recession caused by the COVID-19 pandemic and the resulting deterioration in many countries' public finances have increased the risk of sovereign debt crises. Although crisis prevention remains paramount, these developments have made it imperative to re-examine the adequacy of the current toolkit for crisis management and resolution, in a context where changes in the creditor base and in the composition of public debt instruments have brought about new challenges in terms of reduced transparency and additional barriers to achieving inter-creditor equity. This report focuses on the international architecture for sovereign debt restructurings (SODRs), as seen through the lenses of the International Monetary Fund (IMF or "the Fund") and with a special attention to the role that the Fund can play in facilitating orderly restructuring processes. It provides a set of findings and recommendations in relation to certain key elements of the Fund's lending framework that have important ramifications on SODR processes, namely debt sustainability assessments (DSAs), the exceptional access policy (EAP) for financing above normal access limits, and the criteria for lending to countries with payments arrears to private creditors (LIA) or official bilateral creditors (LIOA). It also considers other indirect channels through which the Fund can affect SODRs, including its support for enhancing the transparency and public disclosure of sovereign debt information, its collaboration with the Paris Club and the G20 debt-related initiatives, the promotion of contractual standards for sovereign debt, and the monitoring of relevant legislative developments.

     
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
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    ISBN: 9789289944694
    Other identifier:
    hdl: 10419/246193
    Corporations / Congresses:
    IRC Task Force on IMF and Global Financial Governance Issues (VerfasserIn)
    Series: Occasional paper series / European Central Bank ; no 262 (September 2021)
    Subjects: International Monetary Fund; sovereign debt; sovereign default; debt restructuring regime
    Scope: 1 Online-Ressource (58 Seiten), Illustrationen
  24. The term structure of interest rates in a heterogeneous Monetary Union
    Author: Costain, James; Nuño, Galo; Thomas, Carlos
    Published: 2022
    Publisher:  Banco de España, Madrid

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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2223
    Subjects: sovereign default; quantitative easing; yield curve; affine model; COVID-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  25. Self-fulfilling debt crises with long stagnations
    Author: Ayres, João; Navarro, Gaston; Nicolini, Juan Pablo; Teles, Pedro
    Published: June 2024
    Publisher:  Federal Reserve Bank of Minneapolis, Research Division, Minneapolis, MN

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    Series: Staff report / Research Division, Federal Reserve Bank of Minneapolis ; no. 659
    Subjects: Self-fulfilling debt crises; sovereign default; multiplicity; stagnations
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