منابع مشابه
Predicting Sovereign Default
With the financial crises ongoing in Greece and Venezuela, sovereign debt crises have become more and more prominent in the public eye. Thus, it has become important to be able to predict when nations will enter such debt crises. We collected publicly available data in order to train models to predict, given a nation’s economic status in one year, whether they would be in a debt crisis the next...
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When is it optimal for a government to default on its legal repayment obligations? We answer this question for a small open economy with domestic production risk in which contracting frictions make it optimal for the government to finance itself by issuing non-contingent debt. We show that Ramsey optimal policies occasionally deviate from the legal repayment obligation and repay debt only parti...
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This paper analyses a small open economy that wants to borrow from abroad, cannot commit to repay debt but faces costs if it decides to default. The model generates analytical expressions for the impact of shocks on the incentive compatible level of debt. Debt reduction generated by severe output shocks is no more than a couple of percentage points. In contrast, shocks to world interest rates c...
متن کاملSovereign Credit Risk with Endogenous Default
This paper provides a model of sovereign default risk pricing, in which a sovereign country endogenously determines the timing of default on its external debt. The theoretical relationships between credit risk and the macro-variables considered in the model are consistent with the empirical literature. The model also helps to explain the variation across time in Emerging Market Bond Index (EMBI...
متن کاملSovereign Debt Renegotiation and Credit Default Swaps
A credit default swap (CDS) contract provides insurance against default. After a country defaults, the country and its lenders usually negotiate over the share of the defaulted debt to be repaid. This paper incorporates CDS contracts into a sovereign default model and demonstrates that the existence of a CDS market results in lower default probability, higher debt levels, and lower nancing cost...
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ژورنال
عنوان ژورنال: The Review of Economic Studies
سال: 2018
ISSN: 0034-6527,1467-937X
DOI: 10.1093/restud/rdy012