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Sovereign default risk and commitment for fiscal adjustment
(Elsevier Science Bv, 2015-01)
This paper studies fiscal policy in a model of sovereign debt and default A time inconsistency problem arises: since the price of past debt cannot be affected by current fiscal policy and governments cannot credibly commit ...
Sovereign debt with adverse selection : a quantitative approach
(Escola de Pós-Graduação em Economia da FGV, 2002-10-17)
We construct a dynamic equilibrium model to quantitatively study sovereign debt with contingent services and country risk spreads such that the benefits of defaulting are tempered by higher interest rates in the future. ...
Sovereign default: which shocks matter?
(Academic Press Inc Elsevier Science, 2011-10)
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 ...
Sovereign debt and default: does it matter who they think you are?
(2019-02-15)
Embora sanções sejam relevantes para explicar decisões de default e variáveis econômicas relacionadas, reputação também importa nesse contexto. Nesse trabalho nós propomos uma extensão do modelo quantitativo de default ...
Does rollover risk matter in quantitative sovereign default models?
(2020-03-12)
Em teoria, falhas de coordenação entre agentes podem levar países a não repagarem dívidas soberanas outrora contraídas. A presente dissertação busca compreender se este mecanismo é de fato importante para determinação do ...
The Determinants of Sovereign Bond Spreads: Theory and Facts from Latin America
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2007)
Extracting Default Probabilities from Sovereign BondsExtracting Default Probabilities from Sovereign Bonds
(Sociedade Brasileira de Econometria, 2008)
US real interest rates and default risk in emerging economies
(2012-09-12)
This paper empirically investigates the impact of changes in US real interest rates on sovereign default risk in emerging economies using the method of identification through heteroskedasticity. Policy-induced increases ...
Political costs of sovereign default : examining the impact of a sovereign’s failure to repay its debt on popularity, 1984-2012
(Universidad de San Andrés. Departamento de Ciencias Sociales, 2018-06)
This paper uses a popularity function to study the relationship between sovereign default and government popularity. I construct a dataset of default history for 55 sovereign entities from 1984-2012. By distinguishing ...
Optimal reserve management and sovereign debt
(ELSEVIER SCIENCE BV, 2009)
Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign`s willingness-to-pay incentive problems, reserve accumulation may reduce ...