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News and Sovereign Default Risk in Small Open Economies

2010-11 Business & Economics
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Release : 2010-11
Genre : Business & Economics
Kind : eBook
Book Rating : 147/5 ( reviews)

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Book Synopsis News and Sovereign Default Risk in Small Open Economies by : Ceyhun Bora Durdu

Download or read book News and Sovereign Default Risk in Small Open Economies written by Ceyhun Bora Durdu. This book was released on 2010-11. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds a model of sovereign debt in which default risk, interest rates, and debt depend not only on current fundamentals but also on news about future fundamentals. News shocks (NS) affect equilibrium outcomes because they contain info. about the future ability of the gov¿t. to repay its debt. First, in the model with NS not all defaults occur in bad times. Second, the NS help account for key differences between emerging markets and developed economies: as the precision of the news improves the model predicts lower variability of consumption, less counter-cyclical trade balance and interest rate spreads. Finally, the model also captures the hump-shaped relationship between default rates and the precision of news obtained from the data.

News and Sovereign Default Risk in Small Open Economies

2010
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Release : 2010
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Book Rating : /5 ( reviews)

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Book Synopsis News and Sovereign Default Risk in Small Open Economies by : Ceyhun Bora Durdu

Download or read book News and Sovereign Default Risk in Small Open Economies written by Ceyhun Bora Durdu. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Modelling the Sovereign Default Risk

2012
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Release : 2012
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Book Synopsis Essays on Modelling the Sovereign Default Risk by : Sébastien Villemot

Download or read book Essays on Modelling the Sovereign Default Risk written by Sébastien Villemot. This book was released on 2012. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the literature on sovereign debt and default risk, building on theoretical models of strategic default and on more recent developments of the quantitative sovereign debt literature. The first contribution is to suggest a solution to the "sovereign default puzzle:" most quantitative sovereign debt models predict a default at very low debt-to-GDP thresholds, in clear contradiction with what is observed in the data. Starting from the observation that countries generally do not want to default but are rather forced into it by the markets, I present a model which can replicate the key stylized facts regarding sovereign risk. As another contribution, I establish a typology of debt crises in three categories: those crises that are the consequence of exogenous shocks, those that are self-fulfilling prophecies, and those self-enforcing crises that are the consequence of a rational tendency to over-borrow when the risk of a negative shock is high. The estimated proportion of self-fulfilling and self-enforcing crises in the data is about 10% in each case. I also study how sovereign default can be understood in the context of small open economy real business cycle models. The conclusion is that these models oscillate between two polar cases: default is either inexistent or too frequent, depending on the chosen parameter values. These models are therefore not well suited for studying sovereign risk, and default needs to be fully endogeneized in order to get meaningful results. Finally, I make a methodological contribution by presenting a new computational method for solving endogenous default models. It is shown to dramatically improve the existing speed-accuracy frontier.

Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets

2010-01-01 Business & Economics
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Release : 2010-01-01
Genre : Business & Economics
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Book Rating : 944/5 ( reviews)

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Book Synopsis Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets by : Mr.Udaibir S. Das

Download or read book Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets written by Mr.Udaibir S. Das. This book was released on 2010-01-01. Available in PDF, EPUB and Kindle. Book excerpt: Top down spillovers of sovereign default risk can have serious consequences for the private sector in emerging markets. This paper analyzes the effects of these spillovers using firm-level data from 31 emerging market economies. We assess how sovereign risk affects corporate access to international capital markets, in the form of external credit (loans and bond issuances) and equity issuances. The study first analyzes the impact of sovereign debt crises during the 1980s and 1990s. It goes on to examine the 1993 to 2007 period, using additional measures of sovereign risk-sovereign bond spreads and sovereign ratings-as explanatory variables. Overall, we find that sovereign default risk is a crucial determinant of private sector access to capital, be it external debt or equity. We also find that crisis resolution patterns matter and that defaults towards private creditors have stronger adverse consequences than defaults to official creditors.

Sovereign Debt

2019-10-21 Business & Economics
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Release : 2019-10-21
Genre : Business & Economics
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Book Rating : 398/5 ( reviews)

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Book Synopsis Sovereign Debt by : S. Ali Abbas

Download or read book Sovereign Debt written by S. Ali Abbas. This book was released on 2019-10-21. Available in PDF, EPUB and Kindle. Book excerpt: The last time global sovereign debt reached the level seen today was at the end of the Second World War, and this shaped a generation of economic policymaking. International institutions were transformed, country policies were often draconian and distortive, and many crises ensued. By the early 1970s, when debt fell back to pre-war levels, the world was radically different. It is likely that changes of a similar magnitude -for better and for worse - will play out over coming decades. Sovereign Debt: A Guide for Economists and Practitioners is an attempt to build some structure around the issues of sovereign debt to help guide economists, practitioners and policymakers through this complicated, but not intractable, subject. Sovereign Debt brings together some of the world's leading researchers and specialists in sovereign debt to cover a range of sub-disciplines within this vast topic. It explores debt management with debt sustainability; debt reduction policies with crisis prevention policies; and the history with the conjuncture. It is a foundation text for all those interested in sovereign debt, with a particular focus real world examples and issues.

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