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Sovereign debt as a contingent claim: a quantitative approach

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Cited by:

  1. Juan Carlos Hatchondo & Leonardo Martinez & Francisco Roch, 2022. "Fiscal Rules and the Sovereign Default Premium," American Economic Journal: Macroeconomics, American Economic Association, vol. 14(4), pages 244-273, October.
  2. Catão, Luis A.V. & Fostel, Ana & Kapur, Sandeep, 2009. "Persistent gaps and default traps," Journal of Development Economics, Elsevier, vol. 89(2), pages 271-284, July.
  3. De Paoli, Bianca & Hoggarth, Glenn & Saporta, Victoria, 2009. "Output costs of sovereign crises: some empirical estimates," Bank of England working papers 362, Bank of England.
  4. Manuel Amador & Christopher Phelan, 2021. "Reputation and Sovereign Default," Econometrica, Econometric Society, vol. 89(4), pages 1979-2010, July.
  5. Péter Benczúr & Cosmin L. Ilut, 2016. "Evidence for Relational Contracts in Sovereign Bank Lending," Journal of the European Economic Association, European Economic Association, vol. 14(2), pages 375-404.
  6. Mauricio Drelichman & Hans-Joachim Voth, 2015. "Risk sharing with the monarch: contingent debt and excusable defaults in the age of Philip II, 1556–1598," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 9(1), pages 49-75, January.
  7. Laura Alfaro & Fabio Kanczuk, 2009. "Debt Maturity: Is Long‐Term Debt Optimal?," Review of International Economics, Wiley Blackwell, vol. 17(5), pages 890-905, November.
  8. Juan Carlos Hatchondo & Cesar Sosa-Padilla & Leonardo Martinez, 2010. "Debt dilution, overborrowing, and sovereign default risk," 2010 Meeting Papers 481, Society for Economic Dynamics.
  9. Dias, Daniel A. & Richmond, Christine & Wright, Mark L.J., 2014. "The stock of external sovereign debt: Can we take the data at ‘face value’?," Journal of International Economics, Elsevier, vol. 94(1), pages 1-17.
  10. 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.
  11. Boz, Emine, 2011. "Sovereign default, private sector creditors, and the IFIs," Journal of International Economics, Elsevier, vol. 83(1), pages 70-82, January.
  12. Corneli, Flavia & Tarantino, Emanuele, 2016. "Sovereign debt and reserves with liquidity and productivity crises," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 166-194.
  13. Ricardo Sabbadini, 2018. "Loss Aversion and Search for Yield in Emerging Markets Sovereign Debt," Working Papers, Department of Economics 2018_16, University of São Paulo (FEA-USP).
  14. Yeyati, Eduardo Levy & Panizza, Ugo, 2011. "The elusive costs of sovereign defaults," Journal of Development Economics, Elsevier, vol. 94(1), pages 95-105, January.
  15. Andrew K. Rose & Mark M. Spiegel, 2009. "Noneconomic Engagement and International Exchange: The Case of Environmental Treaties," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2‐3), pages 337-363, March.
  16. Alfaro, Laura & Kanczuk, Fabio, 2009. "Optimal reserve management and sovereign debt," Journal of International Economics, Elsevier, vol. 77(1), pages 23-36, February.
  17. Cuadra, Gabriel & Sapriza, Horacio, 2008. "Sovereign default, interest rates and political uncertainty in emerging markets," Journal of International Economics, Elsevier, vol. 76(1), pages 78-88, September.
  18. Sebastian Edwards, 2015. "Sovereign Default, Debt Restructuring, and Recovery Rates: Was the Argentinean “Haircut” Excessive?," NBER Working Papers 20964, National Bureau of Economic Research, Inc.
  19. Mohammed Aliu Momoh & Maurice Aghedo, 2018. "Public Private Partnership, Infrastructure Guarantee and Sovereign Debt Default," Romanian Economic Business Review, Romanian-American University, vol. 13(1), pages 25-34, March.
  20. Alfaro, Laura & Kanczuk, Fabio, 2006. "Sovereign Debt: Indexation and Maturity," IDB Publications (Working Papers) 1578, Inter-American Development Bank.
  21. Ana Fostel & John Geanakoplos, 2008. "Emerging Markets in an Anxious Global Economy," Cowles Foundation Discussion Papers 1646, Cowles Foundation for Research in Economics, Yale University.
  22. Mr. Tamon Asonuma, 2016. "Serial Sovereign Defaults and Debt Restructurings," IMF Working Papers 2016/066, International Monetary Fund.
  23. Tamon Asonuma, 2010. "Serial Default and Debt Renegotiation," 2010 Meeting Papers 169, Society for Economic Dynamics.
  24. Luis Catão & Sandeep Kapur, 2006. "Volatility and the Debt-Intolerance Paradox," IMF Staff Papers, Palgrave Macmillan, vol. 53(2), pages 1-1.
  25. Luis Catão & Ana Fostel & Romain Ranciere, 2017. "Fiscal Discoveries and Yield Decouplings," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 65(4), pages 704-744, November.
  26. Michael Bleaney, 2006. "The Currency Denomination Of Sovereign Debt," Discussion Papers 06/02, University of Nottingham, School of Economics.
  27. 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.
  28. Horn, Fabian, 2015. "Quantifying the costs of sovereign defaults using odious debt cases as a quasi-natural experiment," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113125, Verein für Socialpolitik / German Economic Association.
  29. Ms. Ana L Fostel & Sandeep Kapur & Mr. Luis Catão, 2007. "Persistent Gaps, Volatility Types, and Default Traps," IMF Working Papers 2007/148, International Monetary Fund.
  30. Cem Karayalcin & Harun Onder, 2019. "Incomplete integration and contagion of debt distress in economic unions," Economics and Politics, Wiley Blackwell, vol. 31(2), pages 194-215, July.
  31. Juan Carlos Hatchondo & Leonardo Martinez, 2010. "The politics of sovereign defaults," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 96(3Q), pages 291-317.
  32. Juan Carlos Hatchondo & Leonardo Martinez & César Sosa-Padilla, 2016. "Debt Dilution and Sovereign Default Risk," Journal of Political Economy, University of Chicago Press, vol. 124(5), pages 1383-1422.
  33. Bernardo Guimaraes, 2011. "Sovereign default: which shocks matter?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(4), pages 553-576, October.
  34. Markus Jorra, 2011. "The Heterogeneity of Default Costs: Evidence from Recent Sovereign Debt Crises," MAGKS Papers on Economics 201151, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  35. Laura Alfaro & Fabio Kanczuk, 2019. "Debt Redemption and Reserve Accumulation," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(2), pages 261-287, June.
  36. Laura Alfaro & Fabio Kanczuk, 2006. "Sovereign Debt: Indexation and Maturity," Research Department Publications 4459, Inter-American Development Bank, Research Department.
  37. Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2007. "The economics of sovereign defaults," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 93(Spr), pages 163-187.
  38. Bernardo Guimaraes, 2007. "Optimal external debt and default," 2007 Meeting Papers 104, Society for Economic Dynamics.
  39. Phan, Toan, 2017. "Sovereign debt signals," Journal of International Economics, Elsevier, vol. 104(C), pages 157-165.
  40. Levy, Antoine & Ricci, Luca Antonio & Werner, Alejandro, 2020. "The Sources of Fiscal Fluctuations," CEPR Discussion Papers 15450, C.E.P.R. Discussion Papers.
  41. Toan Phan & Felipe Schwartzman, 2023. "Climate Defaults and Financial Adaptation," Working Paper 23-06, Federal Reserve Bank of Richmond.
  42. Ricardo Sabbadini, 2018. "International Reserves Management in a Model of Partial Sovereign Default," Working Papers, Department of Economics 2018_14, University of São Paulo (FEA-USP).
  43. Mallucci, Enrico, 2022. "Natural disasters, climate change, and sovereign risk," Journal of International Economics, Elsevier, vol. 139(C).
  44. Romain Ranciere & Ana Fostel & Luis Catao, 2011. "Sudden Stops and Sovereign Defaults," 2011 Meeting Papers 1359, Society for Economic Dynamics.
  45. Alfaro, Laura & Kanczuk, Fabio, 2010. "Nominal versus indexed debt: A quantitative horse race," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1706-1726, December.
  46. Sebastian Edwards, 2015. "Sovereign Default, Debt Restructuring, and Recovery Rates: Was the Argentinean “Haircut” Excessive?," Open Economies Review, Springer, vol. 26(5), pages 839-867, November.
  47. Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2009. "Heterogeneous Borrowers In Quantitative Models Of Sovereign Default," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(4), pages 1129-1151, November.
  48. Laura Alfaro & Fabio Kanczuk, 2022. "Undisclosed Debt Sustainability," AEA Papers and Proceedings, American Economic Association, vol. 112, pages 521-525, May.
  49. Eberhardt, Markus, 2018. "(At Least) Four Theories for Sovereign Default," CEPR Discussion Papers 13084, C.E.P.R. Discussion Papers.
  50. Mark Wright & Christine Richmond & Daniel Dias, 2012. "On The Stock of External Sovereign Debt," 2012 Meeting Papers 490, Society for Economic Dynamics.
  51. Konstantin Egorov & Michal Fabinger, 2016. "Reputational Effects in Sovereign Default," CIRJE F-Series CIRJE-F-999, CIRJE, Faculty of Economics, University of Tokyo.
  52. Aguiar, Mark & Amador, Manuel, 2014. "Sovereign Debt," Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 647-687, Elsevier.
  53. De Paoli, Biana & Hoggarth, Glenn & Saporta, Victoria, 2006. "Financial Stability Paper No 1: Costs of Sovereign Default," Bank of England Financial Stability Papers 1, Bank of England.
  54. Phan, Toan, 2017. "A model of sovereign debt with private information," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 1-17.
  55. Laura Alfaro & Fabio Kanczuk, 2006. "Deuda soberana: indexación y vencimiento," Research Department Publications 4460, Inter-American Development Bank, Research Department.
  56. Andre Faria, 2006. "Growth-Indexed Bonds in Emerging Markets: a Quantitative Approach," 2006 Meeting Papers 847, Society for Economic Dynamics.
  57. Bulent Guler & Yasin Kursat Onder & Temel Taskin, 2022. "Asymmetric Information and Sovereign Debt Disclosure," CAEPR Working Papers 2022-004 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
  58. Flavia Corneli & Emanuele Tarantino, 2011. "Reserve management and sovereign debt cost in a world with liquidity crises," Temi di discussione (Economic working papers) 797, Bank of Italy, Economic Research and International Relations Area.
  59. Mark Aguiar & Manuel Amador, 2013. "Sovereign Debt: A Review," NBER Working Papers 19388, National Bureau of Economic Research, Inc.
  60. Christoph Trebesch, 2009. "The Cost of Aggressive Sovereign Debt Policies: How Much is theprivate Sector Affected?," IMF Working Papers 2009/029, International Monetary Fund.
  61. Benedikt Mihm, 2016. "Mispricing of Risk in Sovereign Bond Markets with Asymmetric Information," German Economic Review, Verein für Socialpolitik, vol. 17(4), pages 491-511, November.
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