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Displaying results 1 to 25 of 42.

  1. Pricing sovereign debt in resource rich economies?
    Published: [2017]
    Publisher:  Department of Economics, OxCarre (Oxford Centre for the Analysis of Resource Rich Economies), Oxford

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: OxCarre research paper ; 194
    Subjects: Market interest rates; Economic conditions; Financial crises; Real interest rates; Commodity price fluctuations; Risk premium; natural resources; sovereign debt; and default; development; WP; emerge market economy; countercyclical; oil price; inter-temporal; sovereign default
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  2. The BoC-BoE sovereign default database revisited
    what's new in 2018?
    Published: July 2018
    Publisher:  Bank of England, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 739
    Subjects: Development economics; financial stability; international financial markets; public debt management; sovereign default
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. Inflation, debt, and default
    Published: 2018
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    VS 36 (18,12)
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    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / Federal Reserve Bank of Cleveland ; 18, 12 (September 2018)
    Subjects: inflation risk; domestic nominal debt; interest rates; sovereign default
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  4. Sovereign default, domestic banks and exclusion from international capital markets
    Published: 2018
    Publisher:  Banco de España, Madrid

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1824
    Subjects: Staatsbankrott; Internationaler Finanzmarkt; Bank; Finanzkrise; Wirtschaftsgeschichte; Kleine offene Volkswirtschaft; Griechenland; sovereign default; banking crisis; endogenous cost of default; international capital market exclusion
    Scope: 1 Online-Ressource (circa 67 Seiten), Illustrationen
  5. Default risk premia on government bonds in a quantitative macroeconomic model
  6. International reserves management in a model of partial sovereign default
    Published: [2018]
    Publisher:  FEA/USP, [São Paulo]

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    VS 532
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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Department of Economics-FEA/USP ; no 2018, 14
    Subjects: international reserves; sovereign debt; sovereign default; partial default; interest rate spread
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  7. History remembered
    optimal sovereign default on domestic and external debt
    Published: July 2019
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    VS 438
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; 19, 31 (July 2019)
    Subjects: public debt; sovereign default; debt crisis; European crisis
    Scope: 1 Online-Ressource (circa 88 Seiten), Illustrationen
  8. Sovereign defaults in court
    Published: 2018
    Publisher:  Kiel Institute for the World Economy (IfW), Kiel

  9. The IMF's role in sovereign debt restructurings
    Published: [September 2021]
    Publisher:  European Central Bank ; IRC Task Force on IMF and Global Financial Governance Issues, Frankfurt am Main, Germany

    The global recession caused by the COVID-19 pandemic and the resulting deterioration in many countries' public finances have increased the risk of sovereign debt crises. Although crisis prevention remains paramount, these developments have made it... more

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    The global recession caused by the COVID-19 pandemic and the resulting deterioration in many countries' public finances have increased the risk of sovereign debt crises. Although crisis prevention remains paramount, these developments have made it imperative to re-examine the adequacy of the current toolkit for crisis management and resolution, in a context where changes in the creditor base and in the composition of public debt instruments have brought about new challenges in terms of reduced transparency and additional barriers to achieving inter-creditor equity. This report focuses on the international architecture for sovereign debt restructurings (SODRs), as seen through the lenses of the International Monetary Fund (IMF or "the Fund") and with a special attention to the role that the Fund can play in facilitating orderly restructuring processes. It provides a set of findings and recommendations in relation to certain key elements of the Fund's lending framework that have important ramifications on SODR processes, namely debt sustainability assessments (DSAs), the exceptional access policy (EAP) for financing above normal access limits, and the criteria for lending to countries with payments arrears to private creditors (LIA) or official bilateral creditors (LIOA). It also considers other indirect channels through which the Fund can affect SODRs, including its support for enhancing the transparency and public disclosure of sovereign debt information, its collaboration with the Paris Club and the G20 debt-related initiatives, the promotion of contractual standards for sovereign debt, and the monitoring of relevant legislative developments.

     

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289944694
    Other identifier:
    hdl: 10419/246193
    Corporations / Congresses:
    IRC Task Force on IMF and Global Financial Governance Issues (VerfasserIn)
    Series: Occasional paper series / European Central Bank ; no 262 (September 2021)
    Subjects: International Monetary Fund; sovereign debt; sovereign default; debt restructuring regime
    Scope: 1 Online-Ressource (58 Seiten), Illustrationen
  10. Predicting fiscal crises
    a machine learning approach
    Published: May 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

    In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb.... more

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    In this paper I assess the ability of econometric and machine learning techniques to predict fiscal crises out of sample. I show that the econometric approaches used in many policy applications cannot outperform a simple heuristic rule of thumb. Machine learning techniques (elastic net, random forest, gradient boosted trees) deliver significant improvements in accuracy. Performance of machine learning techniques improves further, particularly for developing countries, when I expand the set of potential predictors and make use of algorithmic selection techniques instead of relying on a small set of variables deemed important by the literature. There is considerable agreement across learning algorithms in the set of selected predictors: Results confirm the importance of external sector stock and flow variables found in the literature but also point to demographics and the quality of governance as important predictors of fiscal crises. Fiscal variables appear to have less predictive value, and public debt matters only to the extent that it is owed to external creditors

     

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513573588
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    Series: IMF working paper ; WP/21, 150
    Subjects: Early warning systems; sovereign default; random forest; Foreign Exchange; Informal Economy; Underground Econom
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  11. The term structure of interest rates in a heterogeneous monetary union
    Published: 05 January 2024
    Publisher:  Centre for Economic Policy Research, London

    We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure... more

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    Universität Potsdam, Universitätsbibliothek
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    We build an arbitrage-based model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution and decompose yields into term premium and credit risk components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond holdings. Calibrating the model to Germany and Italy, we show that a 'default risk extraction' channel is the main driver of Italian yields and that flexibility makes asset purchases more effective.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18736
    Subjects: sovereign default; quantitative easing; yield curve; affine model; Covid-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 89 Seiten), Illustrationen
  12. Sovereign defaults at home and abroad
    Published: 09 January 2024
    Publisher:  Centre for Economic Policy Research, London

    We systematically compare sovereign defaults on debt issued externally and domestically. Defaults at home and abroad are equally frequent, and governments often default selectively. Compared to domestic defaults, external defaults are larger and take... more

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    We systematically compare sovereign defaults on debt issued externally and domestically. Defaults at home and abroad are equally frequent, and governments often default selectively. Compared to domestic defaults, external defaults are larger and take longer to resolve. Both external and domestic defaults are often resolved through maturity extensions and coupon reductions. Face value reductions are infrequent, especially as part of domestic restructurings. Yet, domestic defaults are more punitive, as they are associated with larger creditor losses. We also document that domestic and external sovereign defaults occur in markedly different macro-financial, political and geo-economic environments. Our stylized facts inform a growing theoretical literature concerned with sovereign defaults in the presence of domestic debt markets.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18739
    Subjects: Public debt; sovereign default; domestic market; external market; stylizedfacts; theory
    Scope: 1 Online-Ressource (circa 32 Seiten)
  13. Optimal state contingent sovereign debt instruments
    Published: September 2021
    Publisher:  International Monetary Fund, [Washington, D.C.]

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9781513595917
    Other identifier:
    Series: IMF working paper ; WP/21, 230
    Subjects: sovereign default; natural disasters; state-contingent debt
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  14. Optimal domestic (and external) sovereign default
    Published: October 26, 2016
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Research Department, Federal Reserve Bank of Philadelphia ; no. 17, 04
    Subjects: Public debt; sovereign default; debt crisis; European crisis
    Scope: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  15. Monetary policy and sovereign debt vulnerability
    Published: 2015
    Publisher:  Banco de España, Madrid

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1517
    Subjects: monetary- fiscal interactions; discretion; sovereign default; continuous time; optimal stopping
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
    Notes:

    Zusammenfassung in spanischer Sprache

  16. Private overborrowing under sovereign risk
    Published: [2022]
    Publisher:  Federal Reserve Bank of Chicago, [Chicago, Illinois]

    This paper proposes a quantitative theory of the interaction between private and public debt in an open economy. Excessive private debt increases the frequency of financial crises. During such crises the government provides fiscal bailouts financed... more

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    DS 244
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    This paper proposes a quantitative theory of the interaction between private and public debt in an open economy. Excessive private debt increases the frequency of financial crises. During such crises the government provides fiscal bailouts financed with risky public debt. This response may cause a sovereign debt crisis, which is characterized by a higher probability of a sovereign default. The model is quantitatively consistent with the evolution of private debt, public debt, and sovereign spreads in Spain from 1999 to 2015, and provides an estimate of the degree of overborrowing, its effect on the spreads, and the optimal macroprudential policy.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/264332
    Series: [Working paper] / Federal Reserve Bank of Chicago ; WP 2022, 17 (December 9, 2021)
    Subjects: Bailouts; credit frictions; €nancial crises; macroprudential policy; sovereign default
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  17. The term structure of interest rates in a heterogeneous monetary union
    Published: July 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure... more

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    DS 63
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    We build a no-arbitrage model of the yield curves in a heterogeneous monetary union with sovereign default risk, which can account for the asymmetric shifts in euro area yields during the Covid-19 pandemic. We derive an affine term structure solution, and decompose yields into term premium and credit risk components. In an extension, we endogenize the peripheral default probability, showing that it decreases with central bank bond-holdings. Calibrating the model to Germany and Italy, we show that a "default risk extraction" channel is the main driver of Italian yields, and that flexibility makes asset purchases more effective.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/263774
    Series: CESifo working paper ; no. 9844 (2022)
    Subjects: sovereign default; quantitative easing; yield curve; affine model; Covid-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 66 Seiten), Illustrationen
  18. A journey in the history of sovereign defaults on domestic law public debt
    Published: [2021]
    Publisher:  UPNA, Universidad Pública de Navarra, [Pamplona]

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    VS 499
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    Language: English
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    Format: Online
    Series: Working paper / Universidad Pública de Navarra, Departamento de Economía ; D.T. 2106
    Subjects: Public debt; sovereign default; domestic law; database
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  19. A journey in the history of sovereign defaults on domestic-law public debt
    Published: [2022]
    Publisher:  ESM, Luxembourg

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    VS 423
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295223141
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    Series: Working paper series / European Stability Mechanism ; 51 (2022)
    Subjects: Public debt; sovereign default; domestic law; database
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  20. The term structure of interest rates in a heterogeneous Monetary Union
    Published: 2022
    Publisher:  Banco de España, Madrid

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    VS 470
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2223
    Subjects: sovereign default; quantitative easing; yield curve; affine model; COVID-19 crisis; ECB; pandemic emergency purchase programme
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  21. Fiscal regimes and the exchange rate
    Published: [2021]
    Publisher:  Swiss National Bank, Zurich

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    VS 555
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Current draft: December 15, 2021
    Series: SNB working papers ; 2022, 1
    Subjects: exchange rate; monetary policy; fiscal policy; fiscal dominance; sovereign default
    Scope: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  22. Fear of hiking?
    monetary policy and sovereign risk
    Published: 01 April 2022
    Publisher:  Centre for Economic Policy Research, London

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    LZ 161
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    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP16837
    Subjects: monetary policy; Sovereign debt; sovereign default; Spreads; Currency Union; monetary fiscal interaction
    Scope: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  23. A journey in the history of sovereign defaults on domestic-law public debt
    Published: [2022]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    VS 201
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: International finance discussion papers ; number 1338 (March 2022)
    Subjects: Public debt; sovereign default; domestic law; database
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  24. A journey in the history of sovereign defaults on domestic law public debt
    Published: September 22, 2021
    Publisher:  Luiss SEP, [Rom]

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    Source: Union catalogues
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    Series: Working paper / Luiss School of European Political Economy ; 2021, 14
    Subjects: Public debt; sovereign default; domestic law; database
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  25. Fiscal regimes and the exchange rate
    Published: 2021
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    VS 546
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Current draft: June 7, 2021
    Series: BIS working papers ; no 950 (June 2021)
    Subjects: exchange rate; monetary policy; scal policy; scal dominance; sovereign default
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen