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Sovereign illiquidity and recessions
(Universidad Torcuato Di Tella, 2016)
Motivated by the striking increase in sovereign spreads and the subsequent recession in Europe during 2011, I examine the importance of sovereign debt liquidity in a New Keynesian environment with wage rigidities and nancial ...
Term Structure of Sovereign Spreads - A Contingent Claim Model
(EGV EPGE, 2007)
Term Structure of Sovereign Spreads - A Contingent Claim Model
(EGV EPGE, 2007)
Una aproximación a los determinantes de la prima de riesgo soberana en Colombia
(Universidad Nacional de ColombiaBogotá - Ciencias Económicas - Maestría en Ciencias EconómicasFacultad de Ciencias EconómicasBogotá, ColombiaUniversidad Nacional de Colombia - Sede Bogotá, 2022)
El estudio de los determinantes del riesgo soberano ha tenido un amplio interés en la literatura económica y el contexto económico de la pandemia del Covid-19 ha exaltado su importancia. En el caso de Colombia, durante ...
Valoración de activos contingentes como metodología de medición de riesgo país: el caso colombiano
(EconomíaFacultad de Economía, 2006)
A risk management approach to emerging market's sovereign debt sustainability with an application to Brazilian data
(Escola de Pós-Graduação em Economia da FGV, 2004-05-27)
In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects ...
Determinantes de Spreads Soberanos durante la reciente crisis financiera: el caso EuropeoSovereign Bond Spreads determinants during the last financial crisis: The European caseDeterminantes de spreads soberanos durante a crescente crise financeira: o caso europeu
(Pontificia Universidad Javeriana, 2016-12)
En este artículo se identifican los principales determinantes de spreads soberanos considerando el bono alemán y de EEUU como benchmarks de referencia, para países de la Unión Europea y de la Unión Monetaria Europea, desde ...
Capital Flows to Latin America: 2017 Year in Review
(ECLAC, 2017-12)
The total amount of debt issued by LAC borrowers from January to November 2017 reached US$ 138 billion, the highest annual amount ever issued in the region. Investors’ enthusiasm for LAC assets was supported by synchronized ...
Country risk for emerging economies: a dynamical index proposal with a case study.
(Sociedade Brasileira de Econometria, 2021)
A relação entre o spread de crédito e o rating de bonds de empresas brasileiras
(2019-04-04)
Este estudo busca investigar os efeitos das avaliações de qualidade de crédito da dívida corporativa brasileira promovidas pelas três principais agências de rating – Standard & Poor’s, Moody’s e Fitch – no spread de crédito ...