This paper investigates the role of self-fulfilling expectations in sovereign bond markets. We
consider a model of sovereign borrowing featuring endogenous debt maturity, risk-averse …

This chapter is on quantitative models of sovereign debt crises in emerging economies. We
interpret debt crises broadly to cover all of the major problems a country can experience …

Sovereign debt crises involve debt restructurings characterized by a mix of face value
haircuts and maturity extensions. The prevalence of maturity extensions has been hard to …

The design of lender-of-last-resort interventions can exacerbate the bank-sovereign nexus.
During sovereign crises, central bank provision of long-term liquidity incentivizes banks to …

Sovereign default episodes are resolved by restructuring the debt through renegotiations
and implemented by bond swaps and resumption of debt service payments. This process …

How will sovereign debt markets evolve in the 21st century? We survey how the literature
has responded to the eurozone debt crisis, placing" lessons learned" in historical …

We study theoretically and quantitatively how official lending regimes affect a government's
decision to raise saving as opposed to defaulting, and its implication for sovereign bond …

This study develops a novel model of endogenous sovereign debt maturity that rationalizes
various stylized facts about debt maturity and the yield spread curve: first, sovereign debt …

We present a simple model of sovereign debt crises in which a country chooses its optimal
mix of short and long-term bonds subject to standard contracting frictions: the country cannot …

Leading into a debt crisis, interest rate spreads on sovereign debt rise before the economy
experiences a decline in productivity, suggesting that news about future economic …