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Vivian Zhanwei Yue

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Vivian Yue & Stephanie Schmitt-Grohe & Martin Uribe & Seunghoon Na, 2015. "A Model of the Twin Ds: Optimal Default and Devaluation," 2015 Meeting Papers 419, Society for Economic Dynamics.

    Mentioned in:

    1. A Model of the Twin Ds: Optimal Default and Devaluation
      by Christian Zimmermann in NEP-DGE blog on 2015-09-11 19:44:53
  2. George Alessandria & Sangeeta Pratap & Vivian Yue, 2013. "Export Dynamics in Large Devaluations," Working Papers 062013, Hong Kong Institute for Monetary Research.

    Mentioned in:

    1. Export Dynamics in Large Devaluations
      by Christian Zimmermann in NEP-DGE blog on 2013-06-09 05:48:43
  3. Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2020. "The Fed Takes on Corporate Credit Risk: An Analysis of the Efficacy of the SMCCF," NBER Working Papers 27809, National Bureau of Economic Research, Inc.

    Mentioned in:

    1. Understanding How Central Banks Use Their Balance Sheets: A Critical Categorization
      by Steve Cecchetti and Kim Schoenholtz in Money, Banking and Financial Markets on 2021-06-07 11:57:45

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic policy > Tax revenue

Working papers

  1. Yusuf Soner Başkaya & Bryan Hardy & Sebnem Kalemli-Ozcan & Vivian Yue, 2023. "Sovereign risk and bank lending: evidence from 1999 Turkish earthquake," BIS Working Papers 1093, Bank for International Settlements.

    Cited by:

    1. Tomas Williams, 2018. "Capital Inflows, Sovereign Debt and Bank Lending: Micro-Evidence from an Emerging Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(12), pages 4958-4994.
    2. Stefano Federico & Fadi Hassan & Veronica Rappoport, 2020. "Trade shocks and credit reallocation," Temi di discussione (Economic working papers) 1289, Bank of Italy, Economic Research and International Relations Area.
    3. di Giovanni, Julian & Kalemli-Özcan, Sebnem & Peydró, José-Luis & Baskaya, Yusuf Soner & Ulu, Mehmet Fatih, 2017. "Capital Flows and the International Credit Channel," CEPR Discussion Papers 11827, C.E.P.R. Discussion Papers.
    4. Nicola Gennaioli & Alberto Martin & Stefano Rossi, 2013. "Banks, government bonds, and default: what do the data say?," Economics Working Papers 1378, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2017.
    5. Fernando Broner & Alberto Martín & Lorenzo Pandolfi & Tomás Williams, 2020. "Winners and Losers from Sovereign Debt Inflows: Evidence from the Stock Market," Working Papers 1152, Barcelona School of Economics.
    6. Cristina Arellano & Yan Bai & Luigi Bocola, 2017. "Sovereign risk and firm heterogeneity," Staff Report 547, Federal Reserve Bank of Minneapolis.
    7. Mr. Giovanni Dell'Ariccia & Caio Ferreira & Nigel Jenkinson & Mr. Luc Laeven & Alberto Martin & Ms. Camelia Minoiu & Alex Popov, 2018. "Managing the Sovereign-Bank Nexus," IMF Departmental Papers / Policy Papers 2018/016, International Monetary Fund.
    8. Kalemli-Özcan, Sebnem & di Giovanni, Julian & Ulu, Mehmet Fatih & Baskaya, Yusuf Soner, 2017. "International Spillovers and Local Credit Cycles," CEPR Discussion Papers 11839, C.E.P.R. Discussion Papers.
    9. Bottero, Margherita & Lenzu, Simone & Mezzanotti, Filippo, 2020. "Sovereign debt exposure and the bank lending channel: Impact on credit supply and the real economy," Journal of International Economics, Elsevier, vol. 126(C).
    10. José Carlos Teixeira & Carlos Vieira & Paulo Ferreira, 2021. "The Effects of Government Bonds on Liquidity Risk and Bank Profitability in Cape Verde," IJFS, MDPI, vol. 9(1), pages 1-23, January.
    11. Lucas Argentieri Mariani & Silvia Marchesi, 2023. "International Lending Channel, Bank Heterogeneity and Capital Inflows (Mis)Allocation," Working Papers 523, University of Milano-Bicocca, Department of Economics.
    12. Rappoport, Veronica & Federico, Stefano & Hassan, Fadi, 2020. "Trade Shocks and Credit Reallocation," CEPR Discussion Papers 14792, C.E.P.R. Discussion Papers.
    13. Cristina Arellano & Yan Bai & Luigi Bocola, 2017. "Sovereign Default Risk and Firm Heterogeneity," NBER Working Papers 23314, National Bureau of Economic Research, Inc.
    14. Gonzalez-Aguado, Eugenia, 2022. "Interest Rate Shocks and the Composition of Sovereign Debt," TSE Working Papers 22-1379, Toulouse School of Economics (TSE).
    15. Michael Chui & Emese Kuruc & Philip Turner, 2016. "A new dimension to currency mismatches in the emerging markets - non-financial companies," BIS Working Papers 550, Bank for International Settlements.

  2. Yusuf Soner Başkaya & Bryan Hardy & Ṣebnem Kalemli-Özcan & Vivian Z. Yue, 2023. "Sovereign Risk and Bank Lending: Theory and Evidence from a Natural Disaster," FRB Atlanta Working Paper 2023-01, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Lucas Argentieri Mariani & Silvia Marchesi, 2023. "International Lending Channel, Bank Heterogeneity and Capital Inflows (Mis)Allocation," Working Papers 523, University of Milano-Bicocca, Department of Economics.
    2. Claudio Borio & Marc Farag & Fabrizio Zampolli, 2023. "Tackling the fiscal policy-financial stability nexus," BIS Working Papers 1090, Bank for International Settlements.

  3. Zakrajsek, Egon & Gilchrist, Simon & Wei, Bin & Yue, Vivian, 2021. "Sovereign Risk and Financial Risk," CEPR Discussion Papers 16750, C.E.P.R. Discussion Papers.

    Cited by:

    1. Kalemli-Özcan, Sebnem & Baskaya, Soner, 2016. "Sovereign Risk and Bank Lending: Evidence from 1999 Turkish Earthquake," CEPR Discussion Papers 11313, C.E.P.R. Discussion Papers.
    2. Melo-Velandia, Luis Fernando & Romero-Chamorro, José Vicente & Ramírez-González, Mahicol Stiben, 2023. "The Global Financial Cycle and Country Risk in Emerging Markets During Stress Episodes: A Copula-CoVaR Approach," Working papers 105, Red Investigadores de Economía.
    3. Ozge Akinci, 2013. "Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries," International Finance Discussion Papers 1085, Board of Governors of the Federal Reserve System (U.S.).
    4. Florent Kanga GBONGUE & Lambert N’Galadjo BAMBA, 2023. "Le modèle hybride de la structure par terme des primes souveraines de crédit et de liquidité dans la zone UEMOA," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 57, pages 101-145.
    5. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
    6. J. Scott Davis & Eric van Wincoop, 2022. "A Theory of Gross and Net Capital Flows over the Global Financial Cycle," NBER Working Papers 30738, National Bureau of Economic Research, Inc.
    7. Capraru, Bogdan & Georgescu, George & Sprincean, Nicu, 2023. "Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk," Working Papers of Romania Fiscal Council 230201, Romania Fiscal Council.
    8. Epstein, Brendan & Finkelstein Shapiro, Alan & González Gómez, Andrés, 2019. "Global financial risk, aggregate fluctuations, and unemployment dynamics," Journal of International Economics, Elsevier, vol. 118(C), pages 351-418.
    9. Yildirim, Zekeriya, 2022. "Global financial risk, the risk-taking channel, and monetary policy in emerging markets," Economic Modelling, Elsevier, vol. 116(C).
    10. István Ábel & Ádám Kóbor, 2022. "Macroeconomic Components of the Risks to Fiscal Sustainability in Hungary," Risks, MDPI, vol. 10(11), pages 1-13, October.
    11. Yusuf Soner Başkaya & Bryan Hardy & Ṣebnem Kalemli-Özcan & Vivian Z. Yue, 2023. "Sovereign Risk and Bank Lending: Theory and Evidence from a Natural Disaster," FRB Atlanta Working Paper 2023-01, Federal Reserve Bank of Atlanta.

  4. Simon Gilchrist & Bin Wei & Vivian Z Yue & Egon Zakrajšek, 2021. "The Fed takes on corporate credit risk: an analysis of the efficacy of the SMCCF," BIS Working Papers 963, Bank for International Settlements.

    Cited by:

    1. Viral V. Acharya & Ryan Banerjee & Matteo Crosignani & Tim Eisert & Renée Spigt, 2022. "Exorbitant Privilege? Quantitative Easing and the Bond Market Subsidy of Prospective Fallen Angels," NBER Working Papers 29777, National Bureau of Economic Research, Inc.
    2. Zaghini, Andrea, 2023. "Unconventional green," CFS Working Paper Series 710, Center for Financial Studies (CFS).
    3. Valentin Haddad & Alan Moreira & Tyler Muir, 2021. "When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response [Funding value adjustments]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5309-5351.
    4. W. Blake Marsh & Padma Sharma, 2021. "Government Loan Guarantees during a Crisis: The Effect of the PPP on Bank Lending and Profitability," Research Working Paper RWP 21-03, Federal Reserve Bank of Kansas City.
    5. Mahyar Kargar & Benjamin Lester & David Lindsay & Shuo Liu & Pierre-Olivier Weill & Diego Zúñiga, 2021. "Corporate Bond Liquidity during the COVID-19 Crisis [The day coronavirus nearly broke the financial markets]," The Review of Financial Studies, Society for Financial Studies, vol. 34(11), pages 5352-5401.
    6. Kamate, Vidya, 2023. "Unconventional monetary policy measures and money markets: Estimating the impact of targeted repo operations on asset prices," Finance Research Letters, Elsevier, vol. 55(PB).
    7. Craig L. Johnson & Tima T. Moldogaziev & Martin J. Luby & Ruth Winecoff, 2021. "The Federal Reserve Municipal Liquidity Facility (MLF): Where the municipal securities market and fed finally meet," Public Budgeting & Finance, Wiley Blackwell, vol. 41(3), pages 42-73, September.
    8. Heidorn, Thomas & Schlamann, Sara, 2022. "The dynamics of rating based credit benchmark curves," Frankfurt School - Working Paper Series 231, Frankfurt School of Finance and Management.
    9. Simone Letta & Pasquale Mirante, 2023. "Investigating the determinants of corporate bond credit spreads in the euro area," Temi di discussione (Economic working papers) 36, Bank of Italy, Economic Research and International Relations Area.
    10. Michael D. Bordo & Mickey D. Levy, 2020. "Do Enlarged Fiscal Deficits Cause Inflation: The Historical Record," NBER Working Papers 28195, National Bureau of Economic Research, Inc.
    11. Annette Vissing-Jørgensen, 2021. "The Treasury market in spring 2020 and the response of the Federal Reserve," BIS Working Papers 966, Bank for International Settlements.
    12. Grahame Johnson, 2023. "A Review of the Bank of Canada’s Market Operations related to COVID-19," Discussion Papers 2023-6, Bank of Canada.
    13. Marsh, W. Blake, 2023. "Supervisory stringency, payout restrictions, and bank equity prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
    14. Goldstein, Michael A. & Namin, Elmira Shekari, 2023. "Corporate bond liquidity and yield spreads: A review," Research in International Business and Finance, Elsevier, vol. 65(C).
    15. Imdade Chitou & Gilles Dufrénot & Julien Esposito, 2021. "Linking Covid-19 epidemic and emerging market OAS: Evidence using dynamic copulas and Pareto distributions," AMSE Working Papers 2138, Aix-Marseille School of Economics, France.
    16. Bo Becker & Efraim Benmelech, 2021. "The Resilience of the U.S. Corporate Bond Market During Financial Crises," NBER Working Papers 28868, National Bureau of Economic Research, Inc.
    17. David Cimon & Adrian Walton, 2022. "Central Bank Liquidity Facilities and Market Making," Staff Working Papers 22-9, Bank of Canada.
    18. Dmitry Khametshin, 2021. "High-yield bond markets during the COVID-19 crisis: the role of monetary policy," Occasional Papers 2110, Banco de España.
    19. Massimiliano Affinito & Raffaele Santioni, 2021. "When the panic broke out: COVID-19 and investment funds' portfolio rebalancing around the world," Temi di discussione (Economic working papers) 1342, Bank of Italy, Economic Research and International Relations Area.
    20. Antonio Falato & Itay Goldstein & Ali Hortaçsu, 2020. "Financial Fragility in the COVID-19 Crisis: The Case of Investment Funds in Corporate Bond Markets," NBER Working Papers 27559, National Bureau of Economic Research, Inc.
    21. Huixin Bi & W. Blake Marsh, 2020. "Flight to Liquidity or Safety? Recent Evidence from the Municipal Bond Market," Research Working Paper RWP 20-19, Federal Reserve Bank of Kansas City.
    22. Bordo, Michael D. & Duca, John V., 2022. "How new Fed corporate bond programs cushioned the Covid-19 recession," Journal of Banking & Finance, Elsevier, vol. 136(C).
    23. Ulf Lewrick & Stijn Claessens, 2021. "Open-ended bond funds: systemic risks and policy implications," BIS Quarterly Review, Bank for International Settlements, December.
    24. Rebucci, Alessandro & Hartley, Jonathan, 2020. "An Event Study of COVID-19 Central Bank Quantitative Easing in Advanced and Emerging Economies," CEPR Discussion Papers 14841, C.E.P.R. Discussion Papers.
    25. Haque, Sharjil & Varghese, Richard, 2023. "Firms’ rollover risk, capital structure and unequal exposure to aggregate shocks," Journal of Corporate Finance, Elsevier, vol. 80(C).
    26. Abudy, Menachem (Meni) & Shust, Efrat, 2023. "Does market design contribute to market stability? Indications from a corporate bond exchange during the COVID-19 crisis," Journal of Economics and Business, Elsevier, vol. 123(C).
    27. Cesa-Bianchi, Ambrogio & Czech, Robert & Eguren Martin, Fernando, 2021. "Dash for Dollars," CEPR Discussion Papers 16415, C.E.P.R. Discussion Papers.
    28. Zaghini, Andrea, 2021. "The Covid pandemic in the market: Infected, immune and cured bonds," CFS Working Paper Series 653, Center for Financial Studies (CFS).
    29. Boyarchenko, Nina & Kovner, Anna & Shachar, Or, 2022. "It’s what you say and what you buy: A holistic evaluation of the corporate credit facilities," Journal of Financial Economics, Elsevier, vol. 144(3), pages 695-731.
    30. Xu, Hui & Pennacchi, George G., 2023. "Benchmarking the effects of the Fed's Secondary Market Corporate Credit Facility using Yankee bonds," Journal of Financial Markets, Elsevier, vol. 64(C).
    31. Breckenfelder, Johannes & Hoerova, Marie, 2023. "Do non-banks need access to the lender of last resort? Evidence from fund runs," Working Paper Series 2805, European Central Bank.
    32. Nozawa, Yoshio & Qiu, Yancheng, 2021. "Corporate bond market reactions to quantitative easing during the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 133(C).
    33. Bin Wei, 2022. "Quantifying "Quantitative Tightening" (QT): How Many Rate Hikes Is QT Equivalent To?," FRB Atlanta Working Paper 2022-8, Federal Reserve Bank of Atlanta.
    34. Wang, Haiyang, 2023. "Liquidity of corporate bonds and credit spread," Finance Research Letters, Elsevier, vol. 55(PB).
    35. Dubravko Mihaljek, 2021. "Interactions between fiscal and monetary policies: a brief history of a long relationship," Public Sector Economics, Institute of Public Finance, vol. 45(4), pages 419-432.
    36. Patricia C. Mosser, 2020. "Central bank responses to COVID-19," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 55(4), pages 191-201, October.
    37. Mahdi Ebsim & Miguel Faria-e-Castro & Julian Kozlowski, 2020. "Credit and Liquidity Policies during Large Crises," Working Papers 2020-035, Federal Reserve Bank of St. Louis, revised 22 Feb 2024.
    38. John J Shim & Karamfil Todorov, 2021. "ETFs, illiquid assets, and fire sales," BIS Working Papers 975, Bank for International Settlements.
    39. Ciner, Cetin & Lucey, Brian & Yarovaya, Larisa, 2022. "Determinants of cryptocurrency returns: A LASSO quantile regression approach," Finance Research Letters, Elsevier, vol. 49(C).
    40. Patrick Aldridge & David Cimon & Rishi Vala, 2023. "Central Bank Crisis Interventions: A Review of the Recent Literature on Potential Costs," Discussion Papers 2023-30, Bank of Canada.
    41. Camelia Minoiu & Rebecca Zarutskie & Andrei Zlate, 2021. "Motivating Banks to Lend? Credit Spillover Effects of the Main Street Lending Program," Finance and Economics Discussion Series 2021-078, Board of Governors of the Federal Reserve System (U.S.).
    42. Bank for International Settlements, 2022. "Private sector debt and financial stability," CGFS Papers, Bank for International Settlements, number 67, december.
    43. Bin Wei, 2022. "How Many Rate Hikes Does Quantitative Tightening Equal?," Policy Hub, Federal Reserve Bank of Atlanta, vol. 2022(11), July.

  5. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2019. "The Two-Pillar Policy for the RMB," FRB Atlanta Working Paper 2019-8, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Zhang, Chen & Fang, Ying & Niu, Linlin, 2022. "Changing anchor of the renminbi: A Bayesian learning approach to the decade-long transition," Economic Modelling, Elsevier, vol. 116(C).
    2. Feng, Ling & Le, Duong Thuy & Yuan, Fan, 2023. "Inclusion of the RMB in SDRs and the impossible trinity in China," Economic Systems, Elsevier, vol. 47(2).
    3. Eugenio Cerutti & Haonan Zhou, 2024. "Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants, and Disconnect," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 196-252, March.
    4. Jeffrey Frankel, 2023. "Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes," CID Working Papers 429, Center for International Development at Harvard University.

  6. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2018. "US Monetary Policy and International Bond Markets," Finance and Economics Discussion Series 2018-014, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2022. "Sovereign risk and financial risk," Journal of International Economics, Elsevier, vol. 136(C).
    2. Md. Rashedur Rahman Sardar & Matthew Schaffer, 2024. "International monetary spillovers to frontier financial markets: Evidence from Bangladesh," International Finance, Wiley Blackwell, vol. 27(1), pages 81-100, April.
    3. Julián Caballero & Christian Upper, 2023. "What happens to EMEs when US yields go up?," BIS Working Papers 1081, Bank for International Settlements.
    4. Bianchi, Francesco & Gómez-Cram, Roberto & Kind, Thilo & Kung, Howard, 2023. "Threats to central bank independence: High-frequency identification with twitter," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 37-54.
    5. Eric T. Swanson, 2017. "Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets," NBER Working Papers 23311, National Bureau of Economic Research, Inc.
    6. Hoek, Jasper & Kamin, Steve & Yoldas, Emre, 2022. "Are higher U.S. interest rates always bad news for emerging markets?," Journal of International Economics, Elsevier, vol. 137(C).
    7. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
    8. Stephanie E. Curcuru & Steven B. Kamin & Canlin Li & Marius del Giudice Rodriguez, 2018. "International Spillovers of Monetary Policy : Conventional Policy vs. Quantitative Easing," International Finance Discussion Papers 1234, Board of Governors of the Federal Reserve System (U.S.).
    9. Marcin Pietrzak, 2023. "What can monetary policy tell us about Bitcoin?," Annals of Finance, Springer, vol. 19(4), pages 545-559, December.
    10. Ahmed, Rashad, 2023. "Flights-to-safety and macroeconomic adjustment in emerging markets: The role of U.S. monetary policy," Journal of International Money and Finance, Elsevier, vol. 133(C).
    11. Mira Farka, 2022. "The credit channel of monetary policy before and after the zero lower bound: Evidence from the US equity market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(3), pages 633-693, September.
    12. Jasper Hoek & Steven B. Kamin & Emre Yoldas, 2020. "When is Bad News Good News? U.S. Monetary Policy, Macroeconomic News, and Financial Conditions in Emerging Markets," International Finance Discussion Papers 1269, Board of Governors of the Federal Reserve System (U.S.).
    13. Cuadra, Gabriel & Menna, Lorenzo, 2019. "Capital flows and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
    14. Francesco Bianchi & Thilo Kind & Howard Kung, 2019. "Threats to Central Bank Independence: High-Frequency Identification with Twitter," NBER Working Papers 26308, National Bureau of Economic Research, Inc.
    15. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    16. Lakdawala, Aeimit & Moreland, Timothy & Schaffer, Matthew, 2021. "The international spillover effects of US monetary policy uncertainty," Journal of International Economics, Elsevier, vol. 133(C).
    17. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    18. Weale, Martin & Wieladek, Tomasz, 2022. "Financial effects of QE and conventional monetary policy compared," Journal of International Money and Finance, Elsevier, vol. 127(C).
    19. Ma, Chaoqun & Tian, Yonggang & Hsiao, Shisong & Deng, Liurui, 2022. "Monetary policy shocks and Bitcoin prices," Research in International Business and Finance, Elsevier, vol. 62(C).
    20. Capasso, Salvatore & D'Uva, Marcella & Fiorelli, Cristiana & Napolitano, Oreste, 2023. "Cross-border Italian sovereign risk transmission in EMU countries," Economic Modelling, Elsevier, vol. 126(C).
    21. Eterovic, Dalibor & Sweet, Cassandra & Eterovic, Nicolas, 2022. "Asymmetric spillovers in emerging market monetary policy," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 650-662.
    22. Hideaki Matsuoka, 2022. "Debt Intolerance: Threshold Level and Composition," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(4), pages 894-932, August.
    23. Ceballos, Luis & Romero, Damian, 2022. "International portfolio bond spillovers," Economics Letters, Elsevier, vol. 220(C).
    24. Jean-Guillaume Sahuc & Grégory Levieuge & José Garcia-Revelo, 2024. "Revisiting 15 Years of Unusual Transatlantic Monetary Policies," Working Papers hal-04563708, HAL.
    25. Eric Fischer, 2020. "Monetary Surprises and Global Financial Flows: A Case Study of Latin America," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(2), pages 189-225, August.
    26. Dimitris Malliaropulos & Petros Migiakis, 2022. "A global monetary policy factor in sovereign bond yields," Working Papers 301, Bank of Greece.
    27. Kharroubi, Enisse, 2023. "Global lending conditions and international coordination of financial regulation policies," Journal of Financial Stability, Elsevier, vol. 69(C).
    28. ter Ellen, Saskia & Jansen, Edvard & Midthjell, Nina Larsson, 2020. "ECB Spillovers and domestic monetary policy effectiveness in small open economies," European Economic Review, Elsevier, vol. 121(C).
    29. Lawrence Kryzanowski & Jie Zhang & Rui Zhong, 2021. "Currency hedging and quantitative easing: Evidence from global bond markets," International Review of Finance, International Review of Finance Ltd., vol. 21(2), pages 555-597, June.
    30. Elías Albagli & Mauricio Calani & Metodij Hadzi-Vaskov & Mario Marcel & Mr. Luca A Ricci, 2020. "Comfort in Floating: Taking Stock of Twenty Years of Freely-Floating Exchange Rate in Chile," IMF Working Papers 2020/100, International Monetary Fund.
    31. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
    32. Cohen, Lior, 2023. "The effects of the BoJ's ETF purchases on equities and corporate investment," Economic Modelling, Elsevier, vol. 129(C).

  7. Hanwei Huang & Jiandong Ju & Vivian Z. Yue, 2017. "Structural adjustments and international trade: theory and evidence from China," CEP Discussion Papers dp1508, Centre for Economic Performance, LSE.

    Cited by:

    1. Cheng, Dong & Shi, Xunpeng & Yu, Jian, 2021. "The impact of green energy infrastructure on firm productivity: Evidence from the Three Gorges Project in China," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 385-406.
    2. Tabuchi, Takatoshi & Wang, Congcong & Zhu, Xiwei, 2023. "A Model of Economic Growth in China," MPRA Paper 117634, University Library of Munich, Germany.
    3. Cheng, Dong & Yu, Jian & Zhang, Dayong & Zheng, Wenping, 2020. "Is heterogeneous capital depreciation important for estimating firm-level productivity? Evidence from Chinese manufacturing firms," Research in International Business and Finance, Elsevier, vol. 52(C).
    4. Tomohiro Ara, 2020. "Country size, technology, and Ricardian comparative advantage," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 497-536, May.
    5. Fan, Haichao & Gou, Qin & Peng, Yuchao & Xie, Wenjing, 2020. "Spillover effects of capital controls on capital flows and financial risk contagion," Journal of International Money and Finance, Elsevier, vol. 105(C).

  8. Uribe, Martín & Schmitt-Grohé, Stephanie & Yue, Vivian & Na, Seunghoon, 2015. "A Model of the Twin Ds: Optimal Default and Devaluation," CEPR Discussion Papers 10697, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jorge Alonso-Ortiz & Esteban Colla & José-María Da-Rocha, 2017. "The productivity cost of sovereign default: evidence from the European debt crisis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(4), pages 611-633, December.
    2. Neele Balke, 2018. "The Employment Cost of Sovereign Default," 2018 Meeting Papers 1256, Society for Economic Dynamics.
    3. Enrico Mallucci, 2015. "Domestic Debt and Sovereign Defaults," International Finance Discussion Papers 1153, Board of Governors of the Federal Reserve System (U.S.).
    4. Javier Bianchi & César Sosa-Padilla, 2020. "Reserve Accumulation, Macroeconomic Stabilization, and Sovereign Risk," NBER Working Papers 27323, National Bureau of Economic Research, Inc.
    5. Ali, Amjad, 2022. "Determining Pakistan's Financial Dependency: The Role of Financial Globalization and Corruption," MPRA Paper 116097, University Library of Munich, Germany.

  9. Bin Wei & Vivian Z. Yue, 2015. "Liquidity backstops and dynamic debt runs," FRB Atlanta Working Paper 2015-13, Federal Reserve Bank of Atlanta.

    Cited by:

    1. Bin Wei & Vivian Z. Yue, 2015. "Liquidity backstops and dynamic debt runs," FRB Atlanta Working Paper 2015-13, Federal Reserve Bank of Atlanta.
    2. Bordo, Michael D. & Duca, John V., 2023. "How the new fed municipal bond facility capped municipal-treasury yield spreads in the Covid-19 recession," Journal of the Japanese and International Economies, Elsevier, vol. 67(C).
    3. Darko B. Vukovic & Carlos J. Rincon & Moinak Maiti, 2021. "Price distortions and municipal bonds premiums: evidence from Switzerland," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-21, December.

  10. Seunghoon Na & Stephanie Schmitt-Grohé & Martin Uribe & Vivian Z. Yue, 2014. "The Twin Ds: Optimal Default and Devaluation," NBER Working Papers 20314, National Bureau of Economic Research, Inc.

    Cited by:

    1. Anzoategui, Diego, 2022. "Sovereign spreads and the effects of fiscal austerity," Journal of International Economics, Elsevier, vol. 139(C).
    2. Kirchner, Markus & Rieth, Malte, 2020. "Sovereign default risk, macroeconomic fluctuations and monetary-fiscal stabilisation," IWH Discussion Papers 22/2020, Halle Institute for Economic Research (IWH).
    3. Eijffinger, Sylvester & Kobielarz, Michal & Uras, Burak, 2018. "Sovereign default, exit and contagion in a monetary union," Other publications TiSEM d1844a19-c4eb-4443-a4c2-5, Tilburg University, School of Economics and Management.
    4. Kris James Mitchener & Gonçalo Pina, 2016. "Pegxit Pressure: Evidence from the Classical Gold Standard," CESifo Working Paper Series 6212, CESifo.
    5. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1251-1274.
    6. Mitchener, Kris James & Pina, Gonçalo, 2020. "Pegxit pressure," Journal of International Money and Finance, Elsevier, vol. 107(C).
    7. Galli, Carlo, 2021. "Self-fulfilling debt crises, fiscal policy and investment," Journal of International Economics, Elsevier, vol. 131(C).
    8. Cristina Arellano & Yan Bai & Gabriel Mihalache, 2019. "Monetary Policy and Sovereign Risk in Emerging Economies (NK-Default)," Department of Economics Working Papers 19-02-rev1, Stony Brook University, Department of Economics.
    9. Matschke, Johannes & Lovchikova, Marina, 2022. "Capital Controls and the Global Financial Cycle," VfS Annual Conference 2022 (Basel): Big Data in Economics 264039, Verein für Socialpolitik / German Economic Association.
    10. Xuan Wang, 2019. "When Do Currency Unions Benefit From Default ?," 2019 Papers pwa938, Job Market Papers.
    11. Jesse Schreger & Wenxin Du, 2014. "Sovereign Risk, Currency Risk, and Corporate Balance Sheets," Working Paper 209056, Harvard University OpenScholar.
    12. Helena Chuliá & Sabuhi Khalili & Jorge M. Uribe, 2024. "Monitoring time-varying systemic risk in sovereign debt and currency markets with generative AI," IREA Working Papers 202402, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
    13. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
    14. Lu Yang & Lei Yang & Xue Cui, 2023. "Sovereign default network and currency risk premia," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-22, December.
    15. Arellano, Cristina & Bai, Yan & Mihalache, Gabriel, 2018. "Default risk, sectoral reallocation, and persistent recessions," Journal of International Economics, Elsevier, vol. 112(C), pages 182-199.
    16. Sunder-Plassmann, Laura, 2020. "Infation, default and sovereign debt: The role of denomination and ownership," Journal of International Economics, Elsevier, vol. 127(C).
    17. Chernov, Mikhail & Creal, Drew & Hördahl, Peter, 2023. "Sovereign credit and exchange rate risks: Evidence from Asia-Pacific local currency bonds," Journal of International Economics, Elsevier, vol. 140(C).
    18. Emilio Espino & Julian Kozlowski & Fernando M. Martin & Juan M. Sanchez, 2020. "Domestic Policies and Sovereign Default," Working Papers 2020-017, Federal Reserve Bank of St. Louis, revised 06 Sep 2023.
    19. Kobielarz, M.L., 2023. "Bailout dynamics in a monetary union," Journal of International Economics, Elsevier, vol. 142(C).
    20. Xuan Wang, 2021. "Bankruptcy Codes and Risk Sharing of Currency Unions," Tinbergen Institute Discussion Papers 21-009/IV, Tinbergen Institute.
    21. Mikhail Chernov & Drew Creal & Peter Hördahl, 2019. "Determinants of Asia-Pacific government bond yields," BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific fixed income markets: evolving structure, participation and pricing, volume 102, pages 29-39, Bank for International Settlements.
    22. Bernardo Guimaraes & Lucas Tumkus, 2020. "On the costs of sovereign default in quantitative models," Discussion Papers 2021, Centre for Macroeconomics (CFM).
    23. Javier Bianchi & Guido Lorenzoni, 2021. "The Prudential Use of Capital Controls and Foreign Currency Reserves," Working Papers 787, Federal Reserve Bank of Minneapolis.
    24. Yasin Kursat Onder & Enes Sunel, 2021. "Inflation-default trade-off without a nominal anchor: The case of Greece," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 39, pages 55-78, January.
    25. Javier Bianchi, 2019. "Monetary Independence and Rollover Crises," 2019 Meeting Papers 1367, Society for Economic Dynamics.
    26. Javier Bianchi & Pablo Ottonello & Ignacio Presno, 2019. "Fiscal Stimulus under Sovereign Risk," NBER Working Papers 26307, National Bureau of Economic Research, Inc.
    27. Javier Bianchi & César Sosa-Padilla, 2020. "Reserve Accumulation, Macroeconomic Stabilization, and Sovereign Risk," NBER Working Papers 27323, National Bureau of Economic Research, Inc.
    28. Martin Wolf, 2018. "Optimal Prudential Policy in Economies with Downward Wage Rigidity," Vienna Economics Papers vie1804, University of Vienna, Department of Economics.
    29. Gu, Grace Weishi, 2015. "A Tale of Two Countries: Sovereign Default, Exchange Rate, and Trade," MPRA Paper 61900, University Library of Munich, Germany.
    30. Bonaccolto, Giovanni & Borri, Nicola & Consiglio, Andrea, 2023. "Breakup and default risks in the great lockdown," Journal of Banking & Finance, Elsevier, vol. 147(C).
    31. Seon Tae Kim & Gabriel Mihalache & Yan Bai, 2014. "Maturity and Repayment Structure of Sovereign Debt," 2014 Meeting Papers 523, Society for Economic Dynamics.
    32. Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
    33. Pablo Ottonello & Ignacio Presno & Javier Bianchi, 2017. "Fiscal Policy, Sovereign Risk, and Unemployment," 2017 Meeting Papers 1382, Society for Economic Dynamics.
    34. Tavares, Tiago, 2015. "The Role of International Reserves in Sovereign Debt Restructuring under Fiscal Adjustment," MPRA Paper 66962, University Library of Munich, Germany.
    35. Zheng, Huanhuan, 2023. "Sovereign debt responses to the COVID-19 pandemic," Journal of International Economics, Elsevier, vol. 143(C).
    36. Kobielarz, Michal, 2018. "The economics of monetary unions," Other publications TiSEM b0293536-68ec-4905-bffd-6, Tilburg University, School of Economics and Management.
    37. Ritschl, Albrecht, 2023. "Knut Borchardt - Brecht-Schüler, Skeptiker, Krisenhistoriker," LSE Research Online Documents on Economics 118541, London School of Economics and Political Science, LSE Library.
    38. Kuvshinov, Dmitry & Zimmermann, Kaspar, 2019. "Sovereigns going bust: Estimating the cost of default," European Economic Review, Elsevier, vol. 119(C), pages 1-21.
    39. Ritschl Albrecht, 2023. "Knut Borchardt – Brecht-Schüler, Skeptiker, Krisenhistoriker," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 24(1), pages 145-150, April.
    40. Charles Serfaty, 2022. "Sovereign Debt and International Trade," Working papers 901, Banque de France.
    41. Prein, Timm, 2019. "Persistent Unemployment, Sovereign Debt Crises, and the Impact of Haircuts," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203654, Verein für Socialpolitik / German Economic Association, revised 2019.
    42. Kriwoluzky, Alexander & Müller, Gernot J. & Wolf, Martin, 2019. "Exit expectations and debt crises in currency unions," Journal of International Economics, Elsevier, vol. 121(C).
    43. Yuta Saito, 2022. "A Note on Time Inconsistency and Endogenous Exits from a Currency Union," Games, MDPI, vol. 13(2), pages 1-8, February.
    44. MASUJIMA Yuki & SATO Yuki, 2024. "Drivers of Post-pandemic Currency Movement: Recurring impacts of sovereign risks and oil prices," Discussion papers 24054, Research Institute of Economy, Trade and Industry (RIETI).
    45. Robert A. McDowall, 2021. "Sovereign default and capital controls," Review of International Economics, Wiley Blackwell, vol. 29(4), pages 1025-1045, September.
    46. Mikhail Chernov & Magnus Dahlquist & Lars Lochstoer, 2023. "Pricing Currency Risks," Journal of Finance, American Finance Association, vol. 78(2), pages 693-730, April.
    47. Javier Bianchi, 2022. "The Research Agenda: Javier Bianchi on Financial Crises and Prudential Policies," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 23(1), April.
    48. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
    49. Asonuma, Tamon, 2014. "Sovereign defaults, external debt and real exchange rate dynamics," MPRA Paper 55133, University Library of Munich, Germany.
    50. Cristina Arellano & Gabriel Mihalache & Yan Bai, 2019. "Inflation Targeting with Sovereign Default Risk," 2019 Meeting Papers 239, Society for Economic Dynamics.
    51. Roettger, Joost, 2019. "Discretionary monetary and fiscal policy with endogenous sovereign risk," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 44-66.
    52. Yasin Kürsat Önder & Enes Sunel, 2021. "Default of Depreciate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1023, Ghent University, Faculty of Economics and Business Administration.
    53. Takefumi Yamazaki, 2018. "Financial friction sources in emerging economies: Structural estimation of sovereign default models," Discussion papers ron303, Policy Research Institute, Ministry of Finance Japan.
    54. Masaru Tsuruta, 2024. "Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options," JRFM, MDPI, vol. 17(2), pages 1-33, February.
    55. Ricardo Sabbadini, 2017. "Overcoming the Original Sin: Gains from Local Currency External Debt," Working Papers, Department of Economics 2017_27, University of São Paulo (FEA-USP).
    56. Stangebye, Zachary, 2015. "Dynamic Panics: Theory and Application to the Eurozone," MPRA Paper 69967, University Library of Munich, Germany.

  11. George Alessandria & Sangeeta Pratap & Vivian Z. Yue, 2013. "Export dynamics in large devaluations," International Finance Discussion Papers 1087, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Leibovici, Fernando & Waugh, Michael E., 2019. "International trade and intertemporal substitution," Journal of International Economics, Elsevier, vol. 117(C), pages 158-174.
    2. Michael Waugh & Fernando Leibovici, 2010. "Cyclical Fluctuations in International Trade Volumes," 2010 Meeting Papers 1095, Society for Economic Dynamics.
    3. Kohn, David & Leibovici, Fernando & Szkup, Michal, 2020. "Financial frictions and export dynamics in large devaluations," Journal of International Economics, Elsevier, vol. 122(C).
    4. George Alessandria & Horag Choi & Kim Ruhl, 2014. "Trade Adjustment Dynamics and the Welfare Gains from Trade," Working Papers 14-11, New York University, Leonard N. Stern School of Business, Department of Economics.
    5. Joaquin Blaum, 2018. "Global Firms in Large Devaluations," 2018 Meeting Papers 593, Society for Economic Dynamics.
    6. Ramanarayanan, Ananth, 2017. "Imported inputs, irreversibility, and international trade dynamics," Journal of International Economics, Elsevier, vol. 104(C), pages 1-18.
    7. Huo, Zhen, 2016. "Financial Frictions, Asset Prices, and the Great Recession," CEPR Discussion Papers 11544, C.E.P.R. Discussion Papers.
    8. Steinberg, Joseph B., 2019. "Brexit and the macroeconomic impact of trade policy uncertainty," Journal of International Economics, Elsevier, vol. 117(C), pages 175-195.
    9. Sandile Hlatshwayo & Mr. Magnus Saxegaard, 2016. "The Consequences of Policy Uncertainty: Disconnects and Dilutions in the South African Real Effective Exchange Rate-Export Relationship," IMF Working Papers 2016/113, International Monetary Fund.
    10. Zhen Huo & Jose-Victor Rios-Rull, 2020. "Demand Induced Fluctuations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 99-117, August.
    11. Ben Zeev, Nadav, 2019. "Global credit supply shocks and exchange rate regimes," Journal of International Economics, Elsevier, vol. 116(C), pages 1-32.
    12. Jacek Rothert, 2019. "International Business Cycles in Emerging Markets," Departmental Working Papers 63, United States Naval Academy Department of Economics.
    13. Zhen Huo & José-Víctor Ríos-Rull, 2013. "Paradox of Thrift Recessions," NBER Working Papers 19443, National Bureau of Economic Research, Inc.
    14. Carter Mix, 2020. "Technology, Geography, and Trade over Time: The Dynamic Effects of Changing Trade Policy," International Finance Discussion Papers 1304, Board of Governors of the Federal Reserve System (U.S.).
    15. Mr. Alexander Culiuc, 2020. "Real Exchange Rate Overshooting in Large Depreciations: Determinants and Consequences," IMF Working Papers 2020/060, International Monetary Fund.
    16. Schwartzman, Felipe, 2014. "Time to produce and emerging market crises," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 37-52.
    17. Cooke, Dudley, 2014. "Monetary shocks, exchange rates, and the extensive margin of exports," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 128-145.
    18. Alessandria, George & Choi, Horag, 2014. "Establishment heterogeneity, exporter dynamics, and the effects of trade liberalization," Journal of International Economics, Elsevier, vol. 94(2), pages 207-223.
    19. Mr. Daniel Leigh & Weicheng Lian & Mr. Marcos Poplawski Ribeiro & Rachel Szymanski & Viktor Tsyrennikov & Hong Yang, 2017. "Exchange Rates and Trade: A Disconnect?," IMF Working Papers 2017/058, International Monetary Fund.
    20. di Mauro, Filippo & Pappadà, Francesco, 2014. "Euro area external imbalances and the burden of adjustment," Working Paper Series 1681, European Central Bank.
    21. Federico S. Mandelman & Alan Finkelstein Shapiro, 2014. "Remittances, entrepreneurship, and employment dynamics over the business cycle," FRB Atlanta Working Paper 2014-19, Federal Reserve Bank of Atlanta.
    22. Zhen Huo & José-Víctor Ríos-Rull, 2013. "Realistic neoclassical multiplier," Economic Policy Paper 13-5, Federal Reserve Bank of Minneapolis.
    23. Felipe Benguria & Felipe Saffie & Sergio Urzúa, 2018. "The Transmission of Commodity Price Super-Cycles," NBER Working Papers 24560, National Bureau of Economic Research, Inc.
    24. Jonathan Kearns & Nikhil Patel, 2016. "Does the financial channel of exchange rates offset the trade channel?," BIS Quarterly Review, Bank for International Settlements, December.
    25. Patrick Alexander & Abeer Reza, 2022. "Exports and the Exchange Rate: A General Equilibrium Perspective," Staff Working Papers 22-18, Bank of Canada.

  12. Vivian Yue & Jiandong Ju, 2013. "A Unified Model of Structural Adjustments and International Trade: Theory and Evidence from China," 2013 Meeting Papers 859, Society for Economic Dynamics.

    Cited by:

    1. Ju, Jiandong & Yu, Xinding, 2015. "Productivity, profitability, production and export structures along the value chain in China," Journal of Comparative Economics, Elsevier, vol. 43(1), pages 33-54.
    2. Baadi H. Baltagi & Peter H. Egger & Michaela Kesina, 2018. "Contagious Exporting and Foreign Ownership: Evidence from Firms in Shanghai using a Bayesian Spatial Bivariate Probit Model," Center for Policy Research Working Papers 211, Center for Policy Research, Maxwell School, Syracuse University.

  13. Jermann, Urban J. & Yue, Vivian Z., 2013. "Interest rate swaps and corporate default," Working Paper Series 1590, European Central Bank.

    Cited by:

    1. Urban Jermann, 2019. "Negative Swap Spreads and Limited Arbitrage," NBER Working Papers 25422, National Bureau of Economic Research, Inc.
    2. Mariya Gubareva & Maria Rosa Borges, 2018. "Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk," Annals of Operations Research, Springer, vol. 266(1), pages 71-100, July.
    3. Raymond Kim, 2021. "Disproportionate costs of uncertainty: Small bank hedging and Dodd‐Frank," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 686-709, May.
    4. Sven Klingler & Suresh Sundaresan, 2018. "An explanation of negative swap spreads: demand for duration from underfunded pension plans," BIS Working Papers 705, Bank for International Settlements.
    5. Mariya Gubareva, 2018. "Historical Interest Rate Sensitivity of Emerging Market Sovereign Debt: Evidence of Regime Dependent Behavior," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 405-442, November.
    6. Bai, Hang, 2021. "Unemployment and credit risk," Journal of Financial Economics, Elsevier, vol. 142(1), pages 127-145.

  14. Samir Jahjah & Bin Wei & Vivian Z. Yue, 2012. "Exchange rate policy and sovereign bond spreads in developing countries," International Finance Discussion Papers 1049, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Ratha, Dilip & De, Supriyo & Kurlat, Sergio, 2018. "Does governing law affect bond spreads?," Emerging Markets Review, Elsevier, vol. 36(C), pages 60-78.
    2. Sola, Sergio & Palomba, Geremia, 2016. "Sub-nationals' risk premia in fiscal federations: Fiscal performance and institutional design," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 165-187.
    3. Thornton, John & Vasilakis, Chrysovalantis, 2017. "Inflation targeting and the cyclicality of monetary policy," Finance Research Letters, Elsevier, vol. 20(C), pages 296-302.
    4. Wajebo Temesgen Woldamanuel, 2022. "Volatility Spillover Across Sovereign Bond Markets Between African, Emerging and USA Economies," Economics and Business, Sciendo, vol. 36(1), pages 149-163, January.
    5. Jenifer Piesse & Nitawan Israsena & Colin Thirtle, 2007. "Volatility Transmission in Asian Bond Markets: Tests of Portfolio Diversification," Asia Pacific Business Review, Taylor & Francis Journals, vol. 13(4), pages 585-607, October.
    6. Tunio, Mohsin Waheed, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," MPRA Paper 116030, University Library of Munich, Germany.
    7. Jean-Louis Combes & Alexandru Minea & Pegdéwendé Nestor Sawadogo, 2019. "Does the composition of government expenditures matter for sovereign bond spreads' evolution in developing countries?," Post-Print halshs-02316227, HAL.
    8. Ismailescu, Iuliana & Phillips, Blake, 2015. "Credit default swaps and the market for sovereign debt," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 43-61.
    9. Dionísio Dias Carneiro & Thomas Wu, 2010. "Sovereign Risk and Out‐of‐Equilibrium Exchange Rate Dynamics," Review of Development Economics, Wiley Blackwell, vol. 14(4), pages 699-711, November.
    10. Eijffinger, Sylvester C.W. & Karataş, Bilge, 2023. "Three sisters: The interlinkage between sovereign debt, currency, and banking crises," Journal of International Money and Finance, Elsevier, vol. 131(C).
    11. Chuku Chuku & Alexandre Kopoin, 2022. "Working Paper 367 - Debt Distress and Recovery Episodes in Africa: Good Policy or Good Luck?," Working Paper Series 2493, African Development Bank.
    12. Thornton, John & Vasilakis, Chrysovalantis, 2016. "Does inflation targeting reduce sovereign risk? Further evidence," Finance Research Letters, Elsevier, vol. 18(C), pages 237-241.
    13. Christian Senga & Danny Cassimon & Dennis Essers, 2018. "Sub-Saharan African Eurobond yields: What really matters beyond global factors?," BeFinD Working Papers 0123, University of Namur, Department of Economics.
    14. Ge, Futing & Zhang, Weiguo, 2022. "The determinants of cross-border bond risk premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    15. Mr. Bernardin Akitoby & Mr. Thomas Stratmann, 2006. "Fiscal Policy and Financial Markets," IMF Working Papers 2006/016, International Monetary Fund.
    16. Hansen, Daniel, 2020. "The effectiveness of fiscal institutions: International financial flogging or domestic constraint?," European Journal of Political Economy, Elsevier, vol. 63(C).
    17. Wälti, Sébastien & Weder, Ghislaine, 2009. "Recovering from bond market distress: Good luck and good policy," Emerging Markets Review, Elsevier, vol. 10(1), pages 36-50, March.
    18. Mita Bhattacharya & John Inekwe, 2021. "Convergence in Sovereign Debt Defaults: Quantifying the Roles of Institutions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 792-811, June.
    19. Kimakova, Alena, 2008. "The political economy of exchange rate regime determination: Theory and evidence," Economic Systems, Elsevier, vol. 32(4), pages 354-371, December.
    20. Mr. Sergio Sola & Mr. Geremia Palomba, 2015. "Sub-National Government’s Risk Premia: Does Fiscal Performance Matter?," IMF Working Papers 2015/117, International Monetary Fund.
    21. Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2006. "Sovereign default risk with heterogenous borrowers," 2006 Meeting Papers 845, Society for Economic Dynamics.
    22. Lee, Hei Wai & Xie, Yan Alice & Yau, Jot, 2011. "The impact of sovereign risk on bond duration: Evidence from Asian sovereign bond markets," International Review of Economics & Finance, Elsevier, vol. 20(3), pages 441-451, June.
    23. Nazim Belhocine & Mr. Salvatore Dell'Erba, 2013. "The Impact of Debt Sustainability and the Level of Debt on Emerging Markets Spreads," IMF Working Papers 2013/093, International Monetary Fund.
    24. Tebaldi, Edinaldo & Nguyen, Hana & Zuluaga, John, 2018. "Determinants of emerging markets’ financial health: A panel data study of sovereign bond spreads," Research in International Business and Finance, Elsevier, vol. 45(C), pages 82-93.
    25. Asonuma, Tamon, 2014. "Sovereign defaults, external debt and real exchange rate dynamics," MPRA Paper 55133, University Library of Munich, Germany.
    26. Alex Luiz Ferreira, 2007. "On the Transmission Mechanism of Monetary Constraints to the Real Side of the Economy," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(1), pages 43-54.
    27. Inci Gumus, 2011. "Exchange Rate Policy and Sovereign Spreads in Emerging Market Economies," Review of International Economics, Wiley Blackwell, vol. 19(4), pages 649-663, September.
    28. Mohsin Waheed & Zulfiqar Hyder, 2023. "What Explains the Volatility in Pakistan’s Sovereign Bond Yields?," SBP Working Paper Series 112, State Bank of Pakistan, Research Department.

  15. Enrique G. Mendoza & Vivian Z. Yue, 2011. "A General Equilibrium Model of Sovereign Default and Business Cycles," NBER Working Papers 17151, National Bureau of Economic Research, Inc.

    Cited by:

    1. Anzoategui, Diego, 2022. "Sovereign spreads and the effects of fiscal austerity," Journal of International Economics, Elsevier, vol. 139(C).
    2. Dominik Sachs & Sebastian Findeisen, 2016. "Optimal Financial Aid Policies for Students," 2016 Meeting Papers 1421, Society for Economic Dynamics.
    3. Roldán-Peña Jessica, 2012. "Default Risk and Economic Activity: A Small Open Economy Model with Sovereign Debt and Default," Working Papers 2012-16, Banco de México.
    4. Paula Andrea Beltrán-Saavedra, 2015. "Precio del petróleo y el ajuste de las tasas de interés en las economías emergentes," Borradores de Economia 901, Banco de la Republica de Colombia.
    5. Patrick Fève & Pablo Garcia Sanchez & Alban Moura & Olivier Pierrard, 2019. "Costly Default And Asymmetric Real Business Cycles," LIDAM Discussion Papers IRES 2019018, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. Lopez-Martin, Bernabe & Leal, Julio & Martinez Fritscher, Andre, 2019. "Commodity price risk management and fiscal policy in a sovereign default model," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 304-323.
    7. Kirchner, Markus & Rieth, Malte, 2020. "Sovereign default risk, macroeconomic fluctuations and monetary-fiscal stabilisation," IWH Discussion Papers 22/2020, Halle Institute for Economic Research (IWH).
    8. Pablo D'Erasmo & Herman J. Moscoso Boedo & Maria Pia Olivero & Maximo Sangiacomo, 2019. "Relationship Networks in Banking Around a Sovereign Default and Currency Crisis," Working Papers 19-43, Federal Reserve Bank of Philadelphia.
    9. Daniel Cohen & Sébastien Villemot, 2012. "The sovereign default puzzle: Modelling issues and lessons for Europe," Working Papers halshs-00692038, HAL.
    10. Pablo Guerron-Quintana & Grey Gordon, 2014. "Municipal Bonds, Default, and Migration in General Equilibrium," 2014 Meeting Papers 868, Society for Economic Dynamics.
    11. Jeon, Kiyoung & Kabukcuoglu, Zeynep, 2018. "Income inequality and sovereign default," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 211-232.
    12. Abel Cadenillas & Ricardo Huamán-Aguilar, 2016. "Explicit formula for the optimal government debt ceiling," Annals of Operations Research, Springer, vol. 247(2), pages 415-449, December.
    13. Jorge Alonso-Ortiz & Esteban Colla & José-María Da-Rocha, 2017. "The productivity cost of sovereign default: evidence from the European debt crisis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(4), pages 611-633, December.
    14. Philippe Martin & Thomas Philippon, 2017. "Inspecting the Mechanism: Leverage and the Great Recession in the Eurozone," American Economic Review, American Economic Association, vol. 107(7), pages 1904-1937, July.
    15. Eijffinger, Sylvester & Kobielarz, Michal & Uras, Burak, 2018. "Sovereign default, exit and contagion in a monetary union," Other publications TiSEM d1844a19-c4eb-4443-a4c2-5, Tilburg University, School of Economics and Management.
    16. Francesco Pappadà & Yanos Zylberberg, 2021. "Sovereign default and imperfect tax enforcement," Working Papers halshs-03142208, HAL.
    17. Pablo D'Erasmo & Enrique Mendoza, 2015. "Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default," PIER Working Paper Archive 15-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 27 Aug 2015.
    18. Xiang Fang & Bryan Hardy & Karen K. Lewis, 2022. "Who Holds Sovereign Debt and Why It Matters," NBER Working Papers 30087, National Bureau of Economic Research, Inc.
    19. Pablo D'Erasmo & Enrique G. Mendoza & Jing Zhang, 2015. "What is a Sustainable Public Debt?," NBER Working Papers 21574, National Bureau of Economic Research, Inc.
    20. Sebastian Findeisen & Dominik Sachs, 2015. "Redistribution and Insurance with Simple Tax Instruments," CESifo Working Paper Series 5400, CESifo.
    21. Zuzana Mucka & Ludovit Odor, 2017. "Sovereign default risk and debt limits: Case of Slovakia," Working Papers Working Paper No. 1/2017, Council for Budget Responsibility.
    22. Jean Barthélemy & Magali Marx, 2016. "Solving Endogenous Regime Switching Models," Working Papers hal-03393181, HAL.
    23. Ozge Akinci, 2013. "Global financial conditions, country spreads and macroeconomic fluctuations in emerging countries," International Finance Discussion Papers 1085, Board of Governors of the Federal Reserve System (U.S.).
    24. Roch, Francisco & Uhlig, Harald, 2018. "The dynamics of sovereign debt crises and bailouts," Journal of International Economics, Elsevier, vol. 114(C), pages 1-13.
    25. Corsetti, Giancarlo & Müller, Gernot & Kuester, Keith & Meier, André, 2013. "Sovereign risk and belief-driven fluctuations in the euro area," CEPR Discussion Papers 9723, C.E.P.R. Discussion Papers.
    26. Sebastian Edwards & Francis A. Longstaff & Alvaro Garcia Marin, 2015. "The U.S. Debt Restructuring of 1933: Consequences and Lessons," NBER Working Papers 21694, National Bureau of Economic Research, Inc.
    27. Gonçalves, Carlos Eduardo & Guimaraes, Bernardo, 2015. "Sovereign default risk and commitment for fiscal adjustment," Journal of International Economics, Elsevier, vol. 95(1), pages 68-82.
    28. Stéphane Auray & Aurélien Eyquem & Xiaofei Ma, 2018. "Banks, Sovereign Risk and Unconventional Monetary Policies," Working Papers halshs-01942734, HAL.
    29. Grey Gordon & Pablo Guerrón-Quintana, 2019. "On Regional Borrowing, Default, and Migration," Working Paper 19-4, Federal Reserve Bank of Richmond.
    30. Joaquin Blaum, 2018. "Global Firms in Large Devaluations," 2018 Meeting Papers 593, Society for Economic Dynamics.
    31. Hale, Galina & Bevilaqua, Julia & Tallman, Eric, 2020. "Corporate Yields and Sovereign Yields," CEPR Discussion Papers 14344, C.E.P.R. Discussion Papers.
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    190. Ignacio Presno & Demian Pouzo, 2014. "Optimal Taxation with Endogenous Default under Incomplete Markets," 2014 Meeting Papers 689, Society for Economic Dynamics.
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    196. Robert A. McDowall, 2021. "Sovereign default and capital controls," Review of International Economics, Wiley Blackwell, vol. 29(4), pages 1025-1045, September.
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    200. Sachs, Dominik & Findeisen, Sebastian, 2014. "Designing Efficient Education and Tax Policies," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100504, Verein für Socialpolitik / German Economic Association.
    201. Filippo Brutti & Philip Sauré, 2016. "Repatriation of Debt in the Euro Crisis," Journal of the European Economic Association, European Economic Association, vol. 14(1), pages 145-174.
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    203. Victor Filipe Martins da Rocha & Yiannis Vailakis, 2017. "On the Sovereign Debt Paradox," Post-Print hal-01097118, HAL.
    204. Patella, Valeria & Tancioni, Massimiliano, 2021. "Confidence Swings and Sovereign Risk Dynamics," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 195-206.
    205. Jeanneret, Alexandre, 2018. "Sovereign credit spreads under good/bad governance," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 230-246.
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    219. Mikhail Mamonov & Anna Pestova, 2021. "Credit Supply Shocks and Household Defaults," CERGE-EI Working Papers wp691, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    220. Beqiraj, Elton & Patella, Valeria & Tancioni, Massimiliano, 2021. "Fiscal stance and the sovereign risk pass-through," Economic Modelling, Elsevier, vol. 102(C).
    221. Daniel Fried, 2017. "Inflation, Default, and the Currency Composition of Sovereign Debt in Emerging Economies: Working Paper 2017-01," Working Papers 52385, Congressional Budget Office.
    222. Große Steffen, Christoph, 2015. "Uncertainty shocks and non-fundamental debt crises: An ambiguity approach," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112936, Verein für Socialpolitik / German Economic Association.
    223. Barrail, Zulma, 2020. "Business cycle implications of rising household credit market participation in emerging countries," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    224. Filippo Brutti & Philip U. Sauré, 2014. "Repatriation of Debt in the Euro Crisis: Evidence for the Secondary Market Theory," Working Papers 2014-03, Swiss National Bank.
    225. Asonuma, Tamon, 2014. "Sovereign defaults, external debt and real exchange rate dynamics," MPRA Paper 55133, University Library of Munich, Germany.
    226. Ṣebnem Kalemli-Özcan, 2019. "U.S. Monetary Policy and International Risk Spillovers," NBER Working Papers 26297, National Bureau of Economic Research, Inc.
    227. Sámano Daniel, 2022. "Foreign Currency Working Capital Constraints for Imported Inputs and Compositional Effects in Intermediate Goods," Working Papers 2022-20, Banco de México.
    228. Phan, Toan, 2017. "A model of sovereign debt with private information," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 1-17.
    229. Albert Queraltó, 2013. "A Model of Slow Recoveries from Financial Crises," International Finance Discussion Papers 1097, Board of Governors of the Federal Reserve System (U.S.).
    230. Takefumi Yamazaki, 2018. "Financial friction sources in emerging economies: Structural estimation of sovereign default models," Discussion papers ron303, Policy Research Institute, Ministry of Finance Japan.
    231. Ludwig, Maximilian, 2014. "How well do we understand sovereign debt crisis? Evidence from Latin America," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100531, Verein für Socialpolitik / German Economic Association.
    232. Sergio de Ferra, 2017. "External Imbalances, Gross Capital Flows and Sovereign Debt Crises," 2017 Meeting Papers 726, Society for Economic Dynamics.
    233. Dzhambova, Krastina, 2021. "“When it rains, it pours”: Fiscal policy, credit constraints and business cycles in emerging and developed economies," Journal of Macroeconomics, Elsevier, vol. 69(C).
    234. Beqiraj, Elton & Fedeli, Silvia & Tancioni, Massimiliano, 2021. "Fiscal retrenchments and the transmission mechanism of the sovereign risk channel for highly indebted countries," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    235. Bahaj, Saleem, 2020. "Sovereign spreads in the Euro area: Cross border transmission and macroeconomic implications," Journal of Monetary Economics, Elsevier, vol. 110(C), pages 116-135.
    236. Mikhail Mamonov & Anna Pestova, 2023. "The Price of War: Macroeconomic and Cross-Sectional Effects of Sanctions on Russia," CERGE-EI Working Papers wp756, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    237. Wei Huang & Shu Lin & Jian Yang, 2019. "Institutional quality and sovereign credit default swap spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 686-703, June.
    238. Michel Guillard & Hubert Kempf (Ecole Normale de Cachan & université Paris-Saclay), 2016. "Sovereign default and public debt sustainability," EcoMod2016 9696, EcoMod.
    239. Boris Hofmann & Nikhil Patel & Steve Pak Yeung Wu, 2022. "Original sin redux: a model-based evaluation," BIS Working Papers 1004, Bank for International Settlements.
    240. Maideu-Morera, Gerard, 2024. "Optimal Fiscal Rules and Macroprudential Policies with Sovereign Default Risk," TSE Working Papers 24-1534, Toulouse School of Economics (TSE).
    241. Sandro C. Andrade & Vidhi Chhaochharia, 2018. "The Costs of Sovereign Default: Evidence from the Stock Market," The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1707-1751.
    242. Jason Z. Ma & Xiang Deng & Kung-Cheng Ho & Sang-Bing Tsai, 2018. "Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps," Sustainability, MDPI, vol. 10(8), pages 1-17, August.
    243. Andrade, Sandro C. & Ekponon, Adelphe & Jeanneret, Alexandre, 2023. "Sovereign risk premia and global macroeconomic conditions," Journal of Financial Economics, Elsevier, vol. 147(1), pages 172-197.
    244. Carlos Eduardo Gonçalves & Bernardo Guimaraes, 2012. "Optimal fiscal adjustment and the commitment-to-forgive issue," Working Papers, Department of Economics 2012_01, University of São Paulo (FEA-USP).
    245. Luo, Jie & Wang, Cheng, 2018. "Optimal sovereign lending and default," Journal of International Economics, Elsevier, vol. 111(C), pages 190-213.
    246. Kollintzas, Tryphon & Tsoukalas, Konstantinos, 2015. "Bank and Sovereign Risk Interdependence in the Euro Area," CEPR Discussion Papers 10485, C.E.P.R. Discussion Papers.
    247. Chen, Hsien-Yi & Chen, Sheng-Syan, 2018. "Quality of government institutions and spreads on sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 82-95.
    248. Kalemli-Özcan, Sebnem, 2019. "US Monetary Policy and International Risk Spillovers," CEPR Discussion Papers 14053, C.E.P.R. Discussion Papers.
    249. Mihalache, Gabriel, 2024. "Comment on “On Wars, Sanctions, and Sovereign Default” by Javier Bianchi and César Sosa-Padilla," Journal of Monetary Economics, Elsevier, vol. 141(C), pages 71-73.
    250. Ricardo Sabbadini, 2017. "Overcoming the Original Sin: Gains from Local Currency External Debt," Working Papers, Department of Economics 2017_27, University of São Paulo (FEA-USP).
    251. Dooyeon Cho & Dong‐Eun Rhee, 2024. "Determinants of market‐assessed sovereign default risk: Macroeconomic fundamentals or global shocks?," International Finance, Wiley Blackwell, vol. 27(1), pages 35-60, April.
    252. Cusato Novelli, Antonio & Barcia, Giancarlo, 2021. "Sovereign Risk, Public Investment and the Fiscal Policy Stance," Journal of Macroeconomics, Elsevier, vol. 67(C).
    253. Elton Beqiraj & Massimiliano Tancioni, 2014. "Fiscal Consolidation and Sovereign Risk in the Euro-zone Periphery," Working Papers in Public Economics 167, University of Rome La Sapienza, Department of Economics and Law.
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    256. Florencia S. Airaudo & Hernán D. Seoane, 2021. "The Trend-cycle Connection," Working Papers 97, Red Nacional de Investigadores en Economía (RedNIE).
    257. Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.
    258. Boonman, Tjeerd M., 2013. "Sovereign defaults, business cycles and economic growth in Latin America, 1870-2012," Research Report 13010-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    259. Radoslaw Paluszynski & Georgios Stefanidis, 2023. "Borrowing into debt crises," Quantitative Economics, Econometric Society, vol. 14(1), pages 277-308, January.
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  16. Enrique G. Mendoza & Vivian Z. Yue, 2008. "A Solution to the Disconnect between Country Risk and Business Cycle Theories," NBER Working Papers 13861, National Bureau of Economic Research, Inc.

    Cited by:

    1. Luis A. V. Catao & Ana Fostel & Sandeep Kapur, 2008. "Persistent Gaps and Default Traps," Birkbeck Working Papers in Economics and Finance 0803, Birkbeck, Department of Economics, Mathematics & Statistics.
    2. Arellano, Cristina & Kocherlakota, Narayana, 2014. "Internal debt crises and sovereign defaults," Journal of Monetary Economics, Elsevier, vol. 68(S), pages 68-80.
    3. Das, Udaibir S. & Papaioannou, Michael G. & Trebesch, Christoph, . "Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets," Chapters in Economics,, University of Munich, Department of Economics.
    4. Ms. Emine Boz, 2009. "Sovereign Default, Private Sector Creditors and the IFIs," IMF Working Papers 2009/046, International Monetary Fund.
    5. Martin Uribe & Stephanie Schmitt-Grohe, 2012. "Pegs and Pain," 2012 Meeting Papers 303, Society for Economic Dynamics.
    6. Dailami, Mansoor, 2010. "Sovereign debt distress and corporate spillover impacts," Policy Research Working Paper Series 5380, The World Bank.
    7. Davig, Troy & Leeper, Eric M. & Walker, Todd B., 2010. ""Unfunded liabilities" and uncertain fiscal financing," Journal of Monetary Economics, Elsevier, vol. 57(5), pages 600-619, July.
    8. Peter Sinclair, 2011. "Deficits, Debts and Defaults - Past, Present and Future," Discussion Papers 11-20, Department of Economics, University of Birmingham.
    9. Juan Carlos Hatchondo & Leonardo Martinez, 2009. "Long-duration bonds and sovereign defaults," Working Paper 08-02, Federal Reserve Bank of Richmond.
    10. S. Meral Cakici, 2011. "Default Risk Premium and Aggregate Fluctuations in a Small Open Economy," Koç University-TUSIAD Economic Research Forum Working Papers 1131, Koc University-TUSIAD Economic Research Forum.
    11. Demian Pouzo & Ignacio Presno, 2012. "Sovereign default risk and uncertainty premia," Working Papers 12-11, Federal Reserve Bank of Boston.
    12. Daude, Christian, 2012. "Sovereign default risk and volatility," Economics Letters, Elsevier, vol. 114(1), pages 47-50.
    13. Romain Ranciere & Ana Fostel & Luis Catao, 2011. "Sudden Stops and Sovereign Defaults," 2011 Meeting Papers 1359, Society for Economic Dynamics.
    14. Juan M. Sanchez, 2009. "The role of information in the rise in consumer bankruptcies," Working Paper 09-04, Federal Reserve Bank of Richmond.
    15. Enrique G. Mendoza, 2008. "Sudden Stops, Financial Crises and Leverage: A Fisherian Deflation of Tobin's Q," NBER Working Papers 14444, National Bureau of Economic Research, Inc.
    16. Gao, Xiang, 2009. "Macroeconomic Analysis on the Basis of Trade Theory: A Review Essay," MPRA Paper 18380, University Library of Munich, Germany.
    17. Christoph Trebesch, 2009. "The Cost of Aggressive Sovereign Debt Policies: How Much is theprivate Sector Affected?," IMF Working Papers 2009/029, International Monetary Fund.

  17. Enrique G. Mandoza & Vivian Z. Yue, 2008. "A solution to the default risk-business cycle disconnect," International Finance Discussion Papers 924, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Eduardo Borensztein & Ugo Panizza, 2009. "The Costs of Sovereign Default," IMF Staff Papers, Palgrave Macmillan, vol. 56(4), pages 683-741, November.
    2. Vivian Norambuena, 2015. "Sovereign Debt Default: Are Countries Trapped by Their Own Default History?," Working Papers wp416, University of Chile, Department of Economics.
    3. Meza, Felipe & Urrutia, Carlos, 2011. "Financial liberalization, structural change, and real exchange rate appreciations," Journal of International Economics, Elsevier, vol. 85(2), pages 317-328.
    4. Das, Udaibir S. & Papaioannou, Michael G. & Trebesch, Christoph, . "Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets," Chapters in Economics,, University of Munich, Department of Economics.
    5. Satyajit Chatterjee & Burcu Eyigungor, 2010. "Maturity, indebtedness, and default risk," Working Papers 10-12, Federal Reserve Bank of Philadelphia.
    6. Ms. Emine Boz, 2009. "Sovereign Default, Private Sector Creditors and the IFIs," IMF Working Papers 2009/046, International Monetary Fund.
    7. Emine Boz & C. Bora Durdu & Nan Li, 2015. "Emerging Market Business Cycles: The Role of Labor Market Frictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(1), pages 31-72, February.
    8. Durdu, C. Bora & Nunes, Ricardo & Sapriza, Horacio, 2013. "News and sovereign default risk in small open economies," Journal of International Economics, Elsevier, vol. 91(1), pages 1-17.
    9. Fernando Broner & Alberto Martín & Jaume Ventura, 2006. "Sovereign Risk and Secondary Markets," Working Papers 288, Barcelona School of Economics.
    10. Antón-Sarabia, Arturo & Hernández, Fausto, 2010. "VAT Collection and Social Security Contributions: Is There a Link?," IDB Publications (Working Papers) 4548, Inter-American Development Bank.
    11. Panizza, Ugo & Levy Yeyati, Eduardo, 2006. "The Elusive Costs of Sovereign Defaults," IDB Publications (Working Papers) 1584, Inter-American Development Bank.
    12. Laura Alfaro & Fabio Kanczuk, 2007. "Optimal Reserve Management and Sovereign Debt," NBER Working Papers 13216, National Bureau of Economic Research, Inc.
    13. Gopinath, Gita & Neiman, Brent, 2014. "Trade Adjustment and Productivity in Large Crises," Scholarly Articles 12330899, Harvard University Department of Economics.
    14. Davig, Troy & Leeper, Eric M. & Walker, Todd B., 2010. ""Unfunded liabilities" and uncertain fiscal financing," Journal of Monetary Economics, Elsevier, vol. 57(5), pages 600-619, July.
    15. Tamon Asonuma, 2010. "Serial Default and Debt Renegotiation," 2010 Meeting Papers 169, Society for Economic Dynamics.
    16. Huixin Bi & Eric M. Leeper, 2010. "Sovereign Debt Risk Premia and Fiscal Policy in Sweden," NBER Working Papers 15810, National Bureau of Economic Research, Inc.
    17. Ugo Panizza & Federico Sturzenegger & Jeromin Zettelmeyer, 2009. "The Economics and Law of Sovereign Debt and Default," Journal of Economic Literature, American Economic Association, vol. 47(3), pages 651-698, September.
    18. Juan Carlos Hatchondo & Leonardo Martinez, 2009. "Long-duration bonds and sovereign defaults," Working Paper 08-02, Federal Reserve Bank of Richmond.
    19. Roberto Piazza, 2014. "Growth and Crisis, Unavoidable Connection?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 677-706, October.
    20. Nicola Gennaioli & Alberto Martin & Stefano Rossi, 2009. "Sovereign default, domestic banks and financial institutions," Economics Working Papers 1170, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2012.
    21. Mr. Leonardo Martinez & Juan Carlos Hatchondo & Cesar Sosa Padilla, 2011. "Debt Dilution and Sovereign Default Risk," IMF Working Papers 2011/070, International Monetary Fund.
    22. Felipe Meza & Carlos Urrutia, 2008. "Great Appreciations: Accounting for the Real Exchange Rate in Mexico, 1988-2002," Working Papers 0807, Centro de Investigacion Economica, ITAM.
    23. Christoph Trebesch & Mr. Michael G. Papaioannou & Mr. Udaibir S Das, 2012. "Sovereign Debt Restructurings 1950-2010: Literature Survey, Data, and Stylized Facts," IMF Working Papers 2012/203, International Monetary Fund.
    24. Bertrand Gruss & Karel Mertens, 2009. "Regime Switching Interest Rates and Fluctuations in Emerging Markets," Economics Working Papers ECO2009/22, European University Institute.
    25. Li, Jinyue, 2018. "Sudden stops, financial frictions, and the banking sector," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 144-154.
    26. Demirel Ufuk D, 2009. "The Transmission of Foreign Interest Rate Shocks to a Small-Open Economy: The Role of External Debt and Financial Integration," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-37, February.
    27. Ghulam, Yaseen & Derber, Julian, 2018. "Determinants of sovereign defaults," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 43-55.
    28. Juan M. Sanchez, 2009. "The role of information in the rise in consumer bankruptcies," Working Paper 09-04, Federal Reserve Bank of Richmond.
    29. Enrique G. Mendoza, 2010. "Sudden Stops, Financial Crises, and Leverage," American Economic Review, American Economic Association, vol. 100(5), pages 1941-1966, December.
    30. Demirel, Ufuk Devrim, 2010. "Macroeconomic stabilization in developing economies: Are optimal policies procyclical?," European Economic Review, Elsevier, vol. 54(3), pages 409-428, April.
    31. Ugo Panizza & Federico Sturzenegger & Jeromin Zettelmeyer, 2010. "International Government Debt," UNCTAD Discussion Papers 199, United Nations Conference on Trade and Development.
    32. Pablo D'Erasmo & Bora Durdu & Emine Boz, 2013. "Sovereign Default Risk and Bank Balance Sheets," 2013 Meeting Papers 1045, Society for Economic Dynamics.
    33. Pablo D'Erasmo & Bora Durdu & Emine Boz, 2014. "Sovereign Risk and Bank Balance Sheets: The Role of Macroprudential Policies," 2014 Meeting Papers 641, Society for Economic Dynamics.
    34. Nan Li, 2008. "Cyclical Wage Movements in Emerging Markets Compared to Developed Economies: the Role of Interest Rates," 2008 Meeting Papers 438, Society for Economic Dynamics.
    35. Zhongyuan Geng & Xuan Liu, 2019. "Optimal input trade policy under economic uncertainties in a small open economy," Applied Economics, Taylor & Francis Journals, vol. 51(20), pages 2155-2171, April.
    36. Angelo Marsiglia Fasolo, 2014. "The Ramsey Steady State under Optimal Monetary and Fiscal Policy for Small Open Economies," Working Papers Series 357, Central Bank of Brazil, Research Department.
    37. Gao, Xiang, 2009. "Macroeconomic Analysis on the Basis of Trade Theory: A Review Essay," MPRA Paper 18380, University Library of Munich, Germany.
    38. Christoph Trebesch, 2009. "The Cost of Aggressive Sovereign Debt Policies: How Much is theprivate Sector Affected?," IMF Working Papers 2009/029, International Monetary Fund.
    39. Arturo Antón-Sarabia & Fausto Hernández-Trillo, 2010. "VAT Collection and Social Security Contributions under Tax Evasion: Is There a Link?," Working papers DTE 480, CIDE, División de Economía.

  18. Francis X. Diebold & Canlin Li & Vivian Z. Yue, 2007. "Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach," NBER Working Papers 13588, National Bureau of Economic Research, Inc.

    Cited by:

    1. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2010. "Bayesian extensions to Diebold-Li term structure model," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 342-350, December.
    2. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    3. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    4. Shi Yafeng & Ai Chunrong & Yanlong Shi & Ying Tingting & Xu Qunfang, 2023. "Large covariance estimation using a factor model with common and group‐specific factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2217-2248, December.
    5. Sowmya, Subramaniam & Prasanna, Krishna & Bhaduri, Saumitra, 2016. "Linkages in the term structure of interest rates across sovereign bond markets," Emerging Markets Review, Elsevier, vol. 27(C), pages 118-139.
    6. Tomohiro Ando & Jushan Bai, 2015. "Asset Pricing with a General Multifactor Structure," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 556-604.
    7. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017. "Global Credit Risk: World, Country and Industry Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 296-317, March.
    8. Matteo Deleidi & Enrico Sergio Levrero, 2021. "Monetary policy and long‐term interest rates: Evidence from the U.S. economy," Metroeconomica, Wiley Blackwell, vol. 72(1), pages 121-147, February.
    9. Coroneo, Laura & Nyholm, Ken & Vidova-Koleva, Rositsa, 2008. "How arbitrage-free is the Nelson-Siegel Model?," Working Paper Series 874, European Central Bank.
    10. Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno, 2016. "Term Structure Persistence," Journal of Financial Econometrics, Oxford University Press, vol. 14(2), pages 331-352.
    11. Zeyyad Mandalinci & Haroon Mumtaz, 2019. "Global Economic Divergence and Portfolio Capital Flows to Emerging Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1713-1730, September.
    12. Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 11024, South African Reserve Bank.
    13. Recchioni, Maria Cristina & Tedeschi, Gabriele, 2017. "From bond yield to macroeconomic instability: A parsimonious affine model," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1116-1135.
    14. Mirko Abbritti & Salvatore Dell’Erba & Antonio Moreno & Sergio Sola, 2018. "Global Factors in the Term Structure of Interest Rates," International Journal of Central Banking, International Journal of Central Banking, vol. 14(2), pages 301-340, March.
    15. Yu-chin Chen & Kwok Ping Tsang & Wen Jen Tsay, 2010. "Home Bias in Currency Forecasts," Working Papers 272010, Hong Kong Institute for Monetary Research.
    16. Dick, Christian D. & Schmeling, Maik & Schrimpf, Andreas, 2010. "Macro expectations, aggregate uncertainty, and expected term premia," ZEW Discussion Papers 10-064, ZEW - Leibniz Centre for European Economic Research.
    17. Minchul Shin & Molin Zhong, 2015. "Does Realized Volatility Help Bond Yield Density Prediction?," Finance and Economics Discussion Series 2015-115, Board of Governors of the Federal Reserve System (U.S.).
    18. Chadha, Jagjit S. & Waters, Alex, 2014. "Applying a macro-finance yield curve to UK quantitative Easing," Journal of Banking & Finance, Elsevier, vol. 39(C), pages 68-86.
    19. Yu-chin Chen & Kwok Ping Tsang, 2010. "What Does the Yield Curve Tell Us about Exchange Rate Predictability?," Working Papers 292010, Hong Kong Institute for Monetary Research.
    20. Tommaso Tornese, 2023. "A Euro Area Term Structure Model with Time Varying Exposures," BAFFI CAREFIN Working Papers 23199, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
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  19. Vivian Z. Yue & Enrique G. Mendoza, 2007. "Solving the Country Risk-Business Cycles Disconnect: Endogenous Output Collapse in a Model of Sovereign Default," 2007 Meeting Papers 46, Society for Economic Dynamics.

    Cited by:

    1. Cuadra Gabriel & Sapriza Horacio, 2006. "Sovereign Default, Interest Rates and Political Uncertainty in Emerging Markets," Working Papers 2006-02, Banco de México.

  20. Vivian Z. Yue, 2005. "Sovereign Default and Debt Renegotiation," 2005 Meeting Papers 138, Society for Economic Dynamics.

    Cited by:

    1. Cuadra Gabriel & Sapriza Horacio, 2006. "Sovereign Default, Terms of Trade and Interest Rates in Emerging Markets," Working Papers 2006-01, Banco de México.
    2. Juan Carlos Hatchondo & Mr. Francisco Roch & Mr. Leonardo Martinez, 2012. "Fiscal Rules and the Sovereign Default Premium," IMF Working Papers 2012/030, International Monetary Fund.
    3. Anzoategui, Diego, 2022. "Sovereign spreads and the effects of fiscal austerity," Journal of International Economics, Elsevier, vol. 139(C).
    4. Roldán-Peña Jessica, 2012. "Default Risk and Economic Activity: A Small Open Economy Model with Sovereign Debt and Default," Working Papers 2012-16, Banco de México.
    5. Valentin Lang & David Mihalyi & Andrea F. Presbitero, 2023. "Borrowing Costs after Sovereign Debt Relief," American Economic Journal: Economic Policy, American Economic Association, vol. 15(2), pages 331-358, May.
    6. Tamon Asonuma & Hyungseok Joo, 2023. "Sovereign Defaults and Debt Restructurings: Public Capital and Fiscal Constraint Tightness," School of Economics Discussion Papers 0323, School of Economics, University of Surrey.
    7. Lopez-Martin, Bernabe & Leal, Julio & Martinez Fritscher, Andre, 2019. "Commodity price risk management and fiscal policy in a sovereign default model," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 304-323.
    8. Daniel Cohen & Sébastien Villemot, 2012. "The sovereign default puzzle: Modelling issues and lessons for Europe," Working Papers halshs-00692038, HAL.
    9. Pablo D'Erasmo & Enrique G. Mendoza, 2019. "History Remembered: Optimal Sovereign Default on Domestic and External Debt," Working Papers 19-31, Federal Reserve Bank of Philadelphia.
    10. Fernando Broner & Guido Lorenzoni & Sergio Schmuckler, 2006. "Why Do Emerging Economies Borrow Short Term?," 2006 Meeting Papers 841, Society for Economic Dynamics.
    11. Pablo Guerron-Quintana & Grey Gordon, 2014. "Municipal Bonds, Default, and Migration in General Equilibrium," 2014 Meeting Papers 868, Society for Economic Dynamics.
    12. Jeon, Kiyoung & Kabukcuoglu, Zeynep, 2018. "Income inequality and sovereign default," Journal of Economic Dynamics and Control, Elsevier, vol. 95(C), pages 211-232.
    13. Diego Perez & Pablo Ottonello, 2016. "The Currency Composition of Sovereign Debt," 2016 Meeting Papers 596, Society for Economic Dynamics.
    14. Eijffinger, Sylvester & Kobielarz, Michal & Uras, Burak, 2018. "Sovereign default, exit and contagion in a monetary union," Other publications TiSEM d1844a19-c4eb-4443-a4c2-5, Tilburg University, School of Economics and Management.
    15. Mauricio Drelichman & Hans-Joachim Voth, 2014. "Risk sharing with the monarch: contingent debt and excusable defaults in the age of Philip II, 1556–1598," ECON - Working Papers 145, Department of Economics - University of Zurich.
    16. Pablo D'Erasmo & Enrique Mendoza, 2015. "Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default," PIER Working Paper Archive 15-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 27 Aug 2015.
    17. Xavier Mateos-Planas & Giulio Seccia, 2013. "Consumer Default with Complete Markets: Default-based Pricing and Finite Punishment," Working Papers 711, Queen Mary University of London, School of Economics and Finance.
    18. Michael Kumhof & Romain Rancière & Pablo Winant, 2015. "Inequality, Leverage, and Crises," PSE-Ecole d'économie de Paris (Postprint) halshs-01207208, HAL.
    19. Agatha Nkem Amadi & Isaac Azubuike Ogbuji & Hope Agbonrofo, 2020. "The Maturity and Repayment Structure of Sovereign Debt: Implications for Development Agenda in Nigeria," Academic Journal of Economic Studies, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 6(1), pages 115-120, March.
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    187. Grey Gordon & Pablo Guerrón-Quintana, 2013. "Dynamics of investment, debt, and default," Working Papers 13-18, Federal Reserve Bank of Philadelphia.
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    1. Cuadra Gabriel & Sapriza Horacio, 2006. "Sovereign Default, Terms of Trade and Interest Rates in Emerging Markets," Working Papers 2006-01, Banco de México.
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    3. Chatterjee Pratiti, 2019. "Asymmetric impact of uncertainty in recessions: are emerging countries more vulnerable?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-27, April.
    4. George Economides & Apostolis Philippopoulos & Petros Varthalitis, 2016. "Monetary Union, Even Higher Integration, or Back to National Currencies?," CESifo Economic Studies, CESifo Group, vol. 62(2), pages 232-255.
    5. Luis A. V. Catao & Ana Fostel & Sandeep Kapur, 2008. "Persistent Gaps and Default Traps," Birkbeck Working Papers in Economics and Finance 0803, Birkbeck, Department of Economics, Mathematics & Statistics.
    6. Juan José Echavarría & Andrés gonzález & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Borradores de Economia 9884, Banco de la Republica.
    7. Alan Finkelstein Shapiro & Brendan Epstein, 2018. "Banking and Financial Access Reforms, Labor Markets, and Financial Shocks," 2018 Meeting Papers 2, Society for Economic Dynamics.
    8. Yusuf Soner Başkaya & Timur Hülagü & Hande Küçük, 2013. "Oil Price Uncertainty in a Small Open Economy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 61(1), pages 168-198, April.
    9. Bajraj, Gent & Lorca, Jorge & Wlasiuk, Juan M., 2023. "On foreign drivers of emerging markets fluctuations," Economic Modelling, Elsevier, vol. 129(C).
    10. Romanos Priftis & Srec̆ko Zimic, 2021. "Sources of Borrowing and Fiscal Multipliers [Emerging market business cycles: the cycle is the trend]," The Economic Journal, Royal Economic Society, vol. 131(633), pages 498-519.
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    Cited by:

    1. Miss Zhanwei Z. Yue & Mr. Samir Jahjah, 2004. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," IMF Working Papers 2004/210, International Monetary Fund.
    2. Takeuchi, Fumihide, 2011. "The role of production fragmentation in international business cycle synchronization in East Asia," Journal of Asian Economics, Elsevier, vol. 22(6), pages 441-459.
    3. Ms. Garima Vasishtha & Mr. Taimur Baig & Mr. Manmohan S. Kumar & Ms. Edda Zoli, 2006. "Fiscal and Monetary Nexus in Emerging Market Economies: How Does Debt Matter?," IMF Working Papers 2006/184, International Monetary Fund.
    4. Ivan Tchakarov & Selim Elekdag, 2006. "The role of interest rates in business cycle fluctuations in emerging countries: the case of Thailand," Asia-Pacific Development Journal, United Nations Economic and Social Commission for Asia and the Pacific (ESCAP), vol. 13(1), pages 53-73, June.
    5. Vivian Z. Yue, 2005. "Sovereign Default and Debt Renegotiation," 2005 Meeting Papers 138, Society for Economic Dynamics.
    6. Coşkun, Sevgi, 2022. "Informal employment and business cycles in emerging market economies," Journal of Macroeconomics, Elsevier, vol. 74(C).
    7. Barrail, Zulma, 2020. "Business cycle implications of rising household credit market participation in emerging countries," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    8. Bonilla, Eugenio Diaz, 2008. "Global macroeconomic developments and poverty:," IFPRI discussion papers 766, International Food Policy Research Institute (IFPRI).

Articles

  1. Urban J. Jermann & Bin Wei & Vivian Z. Yue, 2022. "The Two‐Pillar Policy for the RMB," Journal of Finance, American Finance Association, vol. 77(6), pages 3093-3140, December.
    See citations under working paper version above.
  2. Gilchrist, Simon & Wei, Bin & Yue, Vivian Z. & Zakrajšek, Egon, 2022. "Sovereign risk and financial risk," Journal of International Economics, Elsevier, vol. 136(C).
    See citations under working paper version above.
  3. Wei, Bin & Yue, Vivian Z., 2020. "Liquidity backstops and dynamic debt runs," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    See citations under working paper version above.
  4. Simon Gilchrist & Vivian Yue & Egon Zakrajšek, 2019. "U.S. Monetary Policy and International Bond Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(S1), pages 127-161, December.
    See citations under working paper version above.
  5. Jermann, Urban J. & Yue, Vivian Z., 2018. "Interest rate swaps and corporate default," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 104-120.
    See citations under working paper version above.
  6. Seunghoon Na & Stephanie Schmitt-Grohé & Martín Uribe & Vivian Yue, 2018. "The Twin Ds: Optimal Default and Devaluation," American Economic Review, American Economic Association, vol. 108(7), pages 1773-1819, July.
    See citations under working paper version above.
  7. Simon Gilchrist & Egon Zakrajšek & Vivian Z. Yue, 2016. "The response of sovereign bond yields to U.S. monetary policy," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(2), pages 102-106, August.

    Cited by:

    1. Bartkiewicz Piotr, 2018. "The Impact of Quantitative Easing on Emerging Markets – Literature Review," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 14(4), pages 67-76, December.
    2. Jongrim Ha, 2021. "Financial market spillovers of U.S. monetary policy shocks," Review of International Economics, Wiley Blackwell, vol. 29(5), pages 1221-1274, November.
    3. Nihar Shah, 2022. "Doubly heterogeneous monetary spillovers," International Finance, Wiley Blackwell, vol. 25(2), pages 126-150, August.
    4. Stavrakeva, Vania & Tang, Jenny, 2019. "The Dollar During the Great Recession: US Monetary Policy Signaling and The Flight To Safety," CEPR Discussion Papers 14034, C.E.P.R. Discussion Papers.
    5. Ricardo Caballero & Güneş Kamber, 2019. "On the global Impact of risk-off shocks and policy-put frameworks," BIS Working Papers 772, Bank for International Settlements.
    6. Domenico Lombardi, Pierre Siklos, Samantha St. Amand, 2018. "Asset Price Spillovers From Unconventional Monetary Policy: A Global Empirical Perspective," LCERPA Working Papers 0109, Laurier Centre for Economic Research and Policy Analysis, revised 30 Jan 2018.
    7. Vania Stavrakeva & Jenny Tang, 2018. "The dollar during the global recession: US monetary policy and the exorbitant duty," Working Papers 18-10, Federal Reserve Bank of Boston.
    8. Jongrim Ha, 2020. "Nonlinear transmission of U.S. monetary policy shocks to international financial markets," International Finance, Wiley Blackwell, vol. 23(3), pages 350-369, December.
    9. Kim, Kyoung-Gon, 2022. "Financial Crisis and the Global Transmission of U.S. Monetary Policy Surprises," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 63(2), pages 104-125, December.

  8. Samir Jahjah & Bin Wei & Vivian Zhanwei Yue, 2013. "Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1275-1300, October.
    See citations under working paper version above.
  9. Enrique G. Mendoza & Vivian Z. Yue, 2012. "A General Equilibrium Model of Sovereign Default and Business Cycles," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(2), pages 889-946.
    See citations under working paper version above.
  10. Yue, Vivian Z., 2010. "Sovereign default and debt renegotiation," Journal of International Economics, Elsevier, vol. 80(2), pages 176-187, March.
    See citations under working paper version above.
  11. Diebold, Francis X. & Li, Canlin & Yue, Vivian Z., 2008. "Global yield curve dynamics and interactions: A dynamic Nelson-Siegel approach," Journal of Econometrics, Elsevier, vol. 146(2), pages 351-363, October.
    See citations under working paper version above.
  12. Uribe, Martin & Yue, Vivian Z., 2006. "Country spreads and emerging countries: Who drives whom?," Journal of International Economics, Elsevier, vol. 69(1), pages 6-36, June.
    See citations under working paper version above.

Chapters

  1. Simon Gilchrist & Bin Wei & Vivian Z. Yue & Egon Zakrajšek, 2021. "Sovereign Risk and Financial Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
    See citations under working paper version above.
  2. Simon Gilchrist & Vivian Z. Yue & Egon Zakrajšek, 2016. "The Response of Sovereign Bond Yields to U.S. Monetary Policy," Central Banking, Analysis, and Economic Policies Book Series, in: Elías Albagli & Diego Saravia & Michael Woodford (ed.),Monetary Policy through Asset Markets: Lessons from Unconventional Measures and Implications for an Integrated World, edition 1, volume 24, chapter 8, pages 257-283, Central Bank of Chile.
    See citations under working paper version above.Sorry, no citations of chapters recorded.
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