Long-duration bonds and sovereign defaults
نویسندگان
چکیده
منابع مشابه
Sovereign defaults and liquidity crises☆
a r t i c l e i n f o Sovereign debt crises in emerging markets are usually associated with liquidity and banking crises. The conventional view is that the domestic turmoil is the consequence of foreign retaliation, although there is no clear empirical evidence on " classic " default penalties. This paper emphasizes, instead, a direct link between sovereign defaults and liquidity crises buildin...
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In this paper we provide a novel explanation of debt crises in emerging markets. In our model, crises arise because of the inability to punish private debtors when many of them default at the same time. We construct an optimal contracting model in which a successful entrepreneur repays the domestic lender yet an unsuccessful one defaults and liquidates his assets. However, the inability to liqu...
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This paper analyses the European financial crisis through the lens of the sovereign bond liquidity. Using novel data we show that government securities are the prime collateral in the European repo market, which is becoming a primary source of funding for the banking system in the Euro area. We document that the repo haircuts on peripheral government bonds sharply increased during the crisis, r...
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This master thesis, builds on the contributions by Ejsing et al. (2012) and Dubecq et al. (2013) to shed light on the credit and liquidity risk components of sovereign bond yields. Four countries have been studied: France, the Netherlands, Germany and Spain. The task has been faced by considering several state-space models, all of them connected by the idea that the differences in the yields be...
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We examine the opportunities for using catastrophe-linked securities (or equivalent forms of nondebt contingent capital) to reduce the total costs of funding infrastructure projects in emerging economies. Our objective is to elaborate on methods to reduce the necessity for unanticipated (emergency) project funding immediately after a natural disaster. We also place the existing explanations of ...
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ژورنال
عنوان ژورنال: Journal of International Economics
سال: 2009
ISSN: 0022-1996
DOI: 10.1016/j.jinteco.2009.07.002