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Displaying results 1 to 6 of 6.

  1. Private overborrowing under sovereign risk
    Author: Arce, Fernando
    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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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 244
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    No inter-library loan

     

    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
  2. The term structure of interest rates in a heterogeneous monetary union
    Author: Costain, James; Nuño, Galo; Thomas, Carlos
    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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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
    No inter-library loan

     

    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
  3. A journey in the history of sovereign defaults on domestic-law public debt
    Author: Erce, Aitor; Mallucci, Enrico; Picarelli, Mattia
    Published: [2022]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    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
  4. Fear of hiking?
    monetary policy and sovereign risk
    Author: Wolf, Martin; Zessner-Spitzenberg, Leopold
    Published: 01 April 2022
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    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
  5. A journey in the history of sovereign defaults on domestic-law public debt
    Author: Erce, Aitor; Mallucci, Enrico; Picarelli, Mattia
    Published: [2022]
    Publisher:  ESM, Luxembourg

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 423
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789295223141
    Other identifier:
    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
  6. The term structure of interest rates in a heterogeneous Monetary Union
    Author: Costain, James; Nuño, Galo; Thomas, Carlos
    Published: 2022
    Publisher:  Banco de España, Madrid

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    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