Uncertainty premia, sovereign default risk, and state-contingent debt
We study the pricing, design, and desirability of sovereign state-contingent debt instruments.
Using a sovereign default model with lenders who fear model misspecification, we find that …
Using a sovereign default model with lenders who fear model misspecification, we find that …
[图书][B] The premia on state-contingent sovereign debt instruments
State-contingent debt instruments such as GDP-linked warrants have garnered attention as
a potential tool to help debt-stressed economies smooth repayments over business cycles …
a potential tool to help debt-stressed economies smooth repayments over business cycles …
Sovereign default risk premia, fiscal limits, and fiscal policy
H Bi - European Economic Review, 2012 - Elsevier
We develop a closed economy model to study the interactions among sovereign risk premia,
fiscal limits, and fiscal policy. The fiscal limits, which measure the government's ability to …
fiscal limits, and fiscal policy. The fiscal limits, which measure the government's ability to …
Debt dilution and sovereign default risk
JC Hatchondo, L Martinez… - Journal of Political …, 2016 - journals.uchicago.edu
We measure the effects of debt dilution on sovereign default risk and study debt covenants
that could mitigate these effects. We calibrate a baseline model with endogenous debt …
that could mitigate these effects. We calibrate a baseline model with endogenous debt …
Non-defaultable debt and sovereign risk
JC Hatchondo, L Martinez, YK Onder - Journal of International Economics, 2017 - Elsevier
We quantify gains from introducing limited financing through non-defaultable debt into a
model of equilibrium sovereign risk. For an initial sovereign spread of 4.2%, introducing the …
model of equilibrium sovereign risk. For an initial sovereign spread of 4.2%, introducing the …
Constrained efficient borrowing with sovereign default risk
Using a quantitative sovereign default model, we characterize constrained efficient
borrowing by a Ramsey government that commits to income-history-contingent borrowing …
borrowing by a Ramsey government that commits to income-history-contingent borrowing …
On the benefits of GDP-indexed government debt: lessons from a model of sovereign defaults
JC Hatchondo, L Martinez - FRB Richmond Economic Quarterly, 2012 - papers.ssrn.com
Whether governments should issue GDP-indexed sovereign debt continues to be the
subject of policy debates. This article contributes to this debate by studying the effects of …
subject of policy debates. This article contributes to this debate by studying the effects of …
[PDF][PDF] Sovereign risk and bank balance sheets: The role of macroprudential policies
This paper explores the effect of macroprudential policies on bank balance sheets,
sovereign default risk, aggregate fluctuations and welfare. We build a model of defaultable …
sovereign default risk, aggregate fluctuations and welfare. We build a model of defaultable …
The Costs and Consequences of Sovereign Borrowing
M Aguiar - IMF Economic Review, 2024 - Springer
In this lecture, I revisit whether sovereign debt markets have delivered on their promise of
fostering growth and enhancing risk sharing in emerging and developing economies. I use …
fostering growth and enhancing risk sharing in emerging and developing economies. I use …
Sovereign debt as a contingent claim: a quantitative approach
L Alfaro, F Kanczuk - Journal of International Economics, 2005 - Elsevier
We construct a dynamic equilibrium model with contingent service and adverse selection to
quantitatively study sovereign debt. In the model, benefits of defaulting are tempered by …
quantitatively study sovereign debt. In the model, benefits of defaulting are tempered by …