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Mukherjee, Mudra. "Essays in Sovereign Debt and Default." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1440430623.
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Bi, Ran. "Essays on sovereign debt structure, default and renegotiation." College Park, Md. : University of Maryland, 2008. http://hdl.handle.net/1903/8024.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2008.<br>Thesis research directed by: Dept. of Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Lanau, Grau Sergi. "Essays on sovereign debt markets." Doctoral thesis, Universitat Pompeu Fabra, 2008. http://hdl.handle.net/10803/7380.
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Aquesta tesis anal.litza les Clausules d'Acció Col.lectiva i les Clàusules de Precedència quan: 1) el repagament és endogen i depèn d'un esforç de lobbying dels creditors. 2) el litigi és purament redistributiu. Hi ha una externalitat positiva del esforç que interactua amb la distribució dels actius i les clàusules contractuals. Els litigis individuals no són desitjables socialment perquè redueixen l'incentiu al esforç. Les Clàusules d'Acció Col.lectiva bloquegen els litigis i maximitzen el repagament. La introducció de Clàusules de Precedència modifica els incentius al esforç. Aquest efecte pot ser positiu o negatiu.<br/>El capítol 2 explora la relació entre les crisis de deute sobirà i el creixement de les industries manufacureres. Les industries amb competició importadora intensa rendeixen relativament millor després del default. Les industries exportadores creixen més lentament al voltant del default. Les industries caracteritzades per alta intensitat del capital i tangibilitat dels actius sofreixen menys els effectes dels defaults.<br>This thesis analyzes Collective Action Clauses and Seniority Clauses when: 1) repayment is endogenous and depends on creditor lobbying effort; 2) litigation for full repayment is purely redistributive. There is a positive externality of effort that interacts with asset distribution and contractual clauses. Individual litigation is not desirable from a social point of view since it weakens the incentives to exert effort. Collective Action Clauses block litigation and maximize repayment. The adoption of Seniority Clauses modifies the incentives to exert effort and thus repayment. This effect can be positive or negative.<br/>Chapter 2 explores the linkage between sovereign debt crises and manufacturing industry growth using a difference-in-difference methodology. Industries facing tough import competition perform relatively better after a sovereign default. Export-oriented sectors grow more slowly around default times. Industries characterized by high physical capital intensity and asset tangibility tend to suffer less from default episodes.
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Adama, Adams Sorekuong Yakubu. "Essays on institutions, firm funding and sovereign debt." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-institutions-firm-funding-and-sovereign-debt(0516466e-8937-4a1a-aca2-f9064b961b07).html.
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This thesis explores the effects of institutions on macroeconomic performance. It does so in two main chapters, a summary of each of which is given below. In the first main chapter of the thesis, the interactions between government spending, government borrowing, political corruption and political turnover were examined. Incorporating these factors in a sovereign default model, we show how sovereign default decisions and business cycle fluctuations are affected by the level of corruption. In particular, we show that when there is turnover, corruption can generate higher risks of default and higher credit spreads when there is enough stability. Intuitively, we establish that a change in power from a less corrupt to a more corrupt government is more likely to cause default than the reverse. The results also shows that households suffer welfare losses as a result of corruption. As regards business cycles, the general effect of corruption is to alter business cycle statistics. Further, we estimate an empirical model using data on sovereign default, corruption, political stability and other macroeconomic variables for a sample of emerging economies. The results of this provide strong evidence of a positive relationship between both corruption and political stability and sovereign default. The second main chapter of the thesis looks at the effects of limited financial contract enforcement in a dynamic stochastic general equilibrium framework where firms have access to both internal and external means of finance. The results shows how limited enforceability affects fluctuations in key macroeconomic variables (e.g., output, employment and price) through its impact on key financial variables (e.g., interest rates, risk premium, default risk and leverage). In particular, we find that weaker enforcement tends to amplify the effects of shocks, creating greater volatility, as well as lowering small firm funding. We provide some empirical evidence to support our results. Using cross-country data on measures of financial market imperfections, we find that limited enforcement has a negative effect on output and that this effect is exacerbated by poor credit information. We also find that weaker contract enforcement is associated with higher output volatility.
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Arráiz, Irani. "Essays on sovereign debt default, settlement, and repayment history /." College Park, Md. : University of Maryland, 2006. http://hdl.handle.net/1903/3752.
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Thesis (Ph. D.) -- University of Maryland, College Park, 2006.<br>Thesis research directed by: Economics. Title from t.p. of PDF. Includes bibliographical references. Published by UMI Dissertation Services, Ann Arbor, Mich. Also available in paper.
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Thakkar, Nachiket Jayeshkumar. "Essays On Sovereign Debt, Governance And Inequality." OpenSIUC, 2019. https://opensiuc.lib.siu.edu/dissertations/1714.
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In my first chapter I follow the methodology put forth by Bohn(1998), the market-based sustainability method to measure whether the sovereign debt is sustainable or not. I work with a panel of 125 countries for 26 years and along with incorporate different institutions ratings by ICRG’s political risk ratings. In my analysis I find out that the debt on average is sustainable for countries up to certain extent and thus giving us an inverted U shape debt-exports curve. I use country exports to find out if the debt is sustainable or not. I also find that better institutions do give an edge to countries when it comes to borrowing as it lowers the risk expectations on the lenders part. The findings do vary based on the country’s income level and based on its geographical location.
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Nolte, Angela. "Essays on sovereign debt in federations : bailout, default and exit." Thesis, University of Edinburgh, 2012. http://hdl.handle.net/1842/7744.
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The thesis analyses the moral hazard problem which arises in political or fiscal federations when member states anticipate being bailed out by the centre in case of financial distress. In particular, I examine whether an orderly default mechanism or deeper fiscal integration within the European Union can alleviate the soft budget constraint phenomenon and provide a solution to the sovereign debt crises engulfing the Eurozone and other parts of the world. The first essay adapts the standard Stackelberg approach of the bailout literature in order to study the effects of bankruptcy procedures on regional opportunistic behaviour. The insolvency mechanism is shaped by two parameters: the costs of default and the exemption level for public assets. The model lends support to the market discipline hypothesis if all public assets are exempt from seizure. If, by contrast, the exemption level for public assets is low, it is the central government rather than the credit market that discourages overborrowing since the former is incentivised to tax heavily indebted regions. The model's major policy insight is that an insolvency mechanism can lower the federation's welfare if it is not carefully designed. The second essay sheds light on the incentive effects of the sovereign debt restructuring mechanism which has been drafted by the Eurozone in response to the debt crisis. Employing a global game approach, the model analyses the impact of insolvency procedures on the size of the bailout, the level of effort exerted by the debtor country and EU welfare. Challenging some arguments in the policy literature, the model's major policy implication is that a half-hearted debt restructuring mechanism fails to mitigate the commitment and moral hazard problems embedded in the current EMU framework. The third essay questions the conventional wisdom that the Euro cannot survive without closer integration, using a simple political economy framework. The model compares the stability and welfare implications of the current "muddling through" scenario, an orderly default mechanism as well as a fiscal and a political union setting. Interestingly, the results suggest that the "muddling through" scenario is not more prone to break-up than the political or the fiscal union. The model's major policy recommendation is that implementing an orderly default mechanism and inserting an explicit exit clause into the European Treaties might prove more effective in preventing a Eurozone break-up than far-reaching institutional reforms.
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Pereira, Gonçalo André Nunes. "Modelling sovereign debt with Lévy Processes." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7611.
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Mestrado em Ciências Actuariais<br>Propomos modelizar o risco de crédito soberano de cinco países da zona Euro (Portugal, Irlanda, Itália, Grécia e Espanha) seguindo uma abordagem estrutural de primeira passagem em que o movimento Browniano geométrico é substituído por um processo de Lévy regido apenas por uma componente de saltos. Deste modo, introduzimos incrementos assimétricos e leptocúrticos e a possibilidade de incumprimento instantâneo, removendo assim algumas das principais limitações do modelo Black-Scholes.
Calculamos a probabilidade de sobrevivência como preço de uma opção barreira discreta, utilizando um método de valorização de opções baseado na aproximação da densidade de transição como expansão em série de Fourier de cossenos. Assumindo uma taxa de recuperação determinística, calibramos o modelo de Lévy Carr-Geman-Madan-Yor (CGMY) utilizando spreads de Credit Default Swaps semanais e obtemos a estrutura temporal de probabilidades de incumprimento. Tiramos ainda partido da representação do processo Variance Gamma (uma instância do modelo CGMY) como movimento Browniano modificado temporalmente para considerar uma estrutura de dependência entre os riscos de crédito soberanos através de uma modificação temporal comum. Em seguida, ilustramos um possível procedimento de calibração multidimensional e obtemos a distribuição de sobrevivência conjunta via simulação.<br>We propose to model the sovereign credit risk of five Euro area countries (Portugal, Ireland, Italy, Greece and Spain) under a first passage structural approach, replacing the classical geometric Brownian motion dynamics with a pure jump Lévy process. This framework caters for skewness, fat tails and instantaneous defaults, thus addressing some of the main drawbacks of the Black-Scholes model.
We compute the survival probability as the price of a discrete barrier option, using an option pricing method based on the approximation of the transition density as a Fourier-cosine series expansion. Assuming a deterministic recovery rate, we calibrate the Carr-Geman-Madan-Yor (CGMY) Lévy model to weekly Credit Default Swaps data and obtain the default probability term structure. By drawing on the representation of the Variance Gamma process (a particular instance of the CGMY model) as a time-changed Brownian motion, we accommodate dependency between sovereigns via a common time change. We then illustrate a possible multivariate calibration procedure and simulate the joint default distribution.
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Menzies, John Alexander. "Sovereign contingent liabilities : a perspective on default and debt crises." Thesis, University of Oxford, 2014. http://ora.ox.ac.uk/objects/uuid:c25e36be-bd42-4a0f-9af6-42d17f87424f.
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Chapters 2-3: A global games approach to sovereign debt crises The first chapters present a model that investigates the risks involved when a fiscal authority attempts to roll-over a stock of debt and there is the potential for coordination failure by investors. A continuum of investors, after receiving signals about the authority's willingness to repay, decides whether to roll-over the stock of debt. If an insufficient proportion of investors participates, the authority defaults. With one fiscal authority, private information results in a deterministic outcome. When a public signal is available, the model behaves in a similar manner to a sunspot model. In line with much of the global games literature, improving public information has an ambiguous effect on welfare. Finally, the model is extended to include a second fiscal authority, which captures a similar sunspot result and illustrates the potential for externalities in fiscal policy. Lower debt in the less indebted authority can push a more indebted authority into crisis. Lower debt makes the healthier authority relatively more attractive, which causes the investors to treat the heavily indebted authority more conservatively. In certain circumstances, this is sufficient to cause a coordination failure. Chapter 4: A debt game with correlated information This chapter models of debt roll-over where a continuum of investors receives correlated signals on whether a debtor is solvent or insolvent. The investors face a collective action problem: a sufficient proportion of investors must agree to participate in the debt roll-over for it to be a success. If an insufficient proportion of investors participates in the deal, the debtor will default. The game has a unique switching strategy, which results in global uncertainty being preserved. The ex ante distribution of play (conditional on the true solvency of the debtor) follows a Vasicek credit distribution. The ex ante probability of a debt crisis is affected by the exogenous model parameters. Of particular interest is the observation that increasing private noise unambiguously reduces the probability of a debt crisis. Unsurprisingly, increasing the fiscal space or return on debt also decreases the probability of a crisis. Chapter 5: Bailouts and politics The final chapter examines the political-economic equilibrium in a two-period model with overlapping generations and a financial sector, which is inspired by the model in Tabellini (1989). The public policy is chosen under majority rule by the agents currently alive. It demonstrates that the bailout policy adopted in the second period has important effects on the bank's financing decisions in the first period. By adopting a riskier financing regime (i.e. higher leverage) in the first period, the older generation can extract consumption from the younger generation in the second period. Sovereign backstops of the financial sector are state-contingent: they can appear costless for long periods of time but eventually result in a socialization of private-sector debt. It is this mechanism that makes implementing capital requirements costly to investors yet beneficial to the younger generation. The model also highlights two important issues: (i) bank capital is endogenous and (ii) proposed resolution mechanisms must be politically credible. It suggests that a major benefit of increasing and narrowing equity-capital requirements or increasing liquidity ratios is that they are implemented ex ante and therefore available either to absorb losses in the event of a crisis or to reduce the possibility of large drops in asset values. Finally, this chapter also provides a structure by which to interpret the stylized facts of Calomiris et al. (2014): that more populist political institutions are associated with more fragile financial systems.
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Krey, Katherine Gorter. "Sovereign Debt after Republic of Argentina v. NML Capital: Developing a Framework for Sovereign Default Arbitration." Scholarship @ Claremont, 2017. http://scholarship.claremont.edu/cmc_theses/1648.
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In July 2014, Argentina entered selective default, even as the country remained financially solvent. The default stemmed not from economic woes, but rather from protracted international litigation between Argentina and a group of hedge funds who, for years, refused to negotiate with Argentina over their bond holdings in the wake of the country’s first default in 2001. These holdouts stalled negotiations and locked Argentina out of international credit markets, damaging the country’s economy and financially harming other creditors and Argentinian citizens alike. Argentina ended up in such a dilemma because of the current sovereign debt restructuring process.
No international arbitrator of sovereign debt currently exists. Instead, a country must negotiate with creditors on an ad-hoc basis, gathering support from 100% of creditors before it can restructure its debt and reenter international credit markets, an extremely inefficient system. This paper will assess the current system of sovereign default renegotiations, identifying inefficiencies in the current system, reviewing past proposals for improvements to the system, and ultimately proposing an international arbitrator for default negotiations. This text uses the development of the US Federal Municipal Bankruptcy Act of 1934 as a guide for an international bankruptcy court. Prior to the passage of the law, municipalities faced many of the same challenges faced by defaulted nations today, including powerful holdouts and a lack of structure in the negotiation system. Given the similarities between the two cases, the Federal Municipal Bankruptcy Act serves as an ideal framework for sovereign default arbitration internationally.
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Andritzky, Jochen R. "Sovereign default risk valuation : implications of debt crises and bond restructurings /." Berlin : Springer, 2006. http://dx.doi.org/10.1007/978-3-540-37449-7.
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Bakketun, Sondre Solvoll. "On the Pricing of Sovereign Debt and the Option to Default." Thesis, Norges teknisk-naturvitenskapelige universitet, Institutt for samfunnsøkonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-13518.
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Thalassinos, Pantelis E. "How credit default swaps affect sovereign debt : the case of Eurozone." Thesis, Glasgow Caledonian University, 2014. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.743875.
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Diniz, André Sander. "Financial disruption as a cost of sovereign default." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11457.
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Previous issue date: 2014-01-24<br>This dissertation analyses quantitatively the costs of sovereign default for the economy, in a model where banks with long positions in government debt play a central role in the financial intermediation for private sector’s investments and face financial frictions that limit their leverage ability. Calibration tries to resemble some features of the Eurozone, where discussions about bailout schemes and default risk have been central issues. Results show that the model captures one important cost of default pointed out by empirical and theoretical literature on debt crises, namely the fall in investment that follows haircut episodes, what can be explained by a worsening in banks’ balance sheet conditions that limits credit for the private sector and raises their funding costs. The cost in terms of output decrease is though not significant enough to justify the existence of debt markets and the government incentives for debt repayment. Assuming that the government is able to alleviate its constrained budget by imposing a restructuring on debt repayment profile that allows it to cut taxes, our model generates an important difference for output path comparing lump-sum taxes and distortionary. For our calibration, quantitative results show that in terms of output and utility, it is possible that the effect on the labour supply response generated by tax cuts dominates investment drop caused by credit crunch on financial markets. We however abstract from default costs associated to the breaking of existing contracts, external sanctions and risk spillovers between countries, that might also be relevant in addition to financial disruption effects. Besides, there exist considerable trade-offs for short and long run path of economic variables related to government and banks’ behaviour<br>Este trabalho analisa de forma quantitativa os custos para a economia de um default soberano, num modelo onde bancos comprados em d´ıvida tˆem um papel central na intermedia¸c˜ao financeira para os investimentos do setor privado e enfrentam fric¸c˜oes financeiras que limitam sua alavancagem. A calibra¸c˜ao busca refletir economias da Eurozona, onde discuss˜oes sobre risco de calote das d´ıvidas e programas de resgate aos governos tem sido temas centrais. Os resultados mostram que o modelo captura um importante custo apontado pela literatura emp´ırica e te´orica, qual seja, a contra¸c˜ao do investimento que segue um epis´odio de default, o que pode ser explicado pela piora no balan¸co do setor financeiro, limitando cr´edito e liquidez para o setor privado e aumentando os custos para o seu financiamento. O custo em termos de perda de produto, no entanto, n˜ao ´e suficiente para explicar a existˆencia de mercados de d´ıvida e os incentivos dos governos em honrar seus compromissos. Assumindo que a reestrutura¸c˜ao do perfil de pagamentos da d´ıvida imposta num caso de default permite ao governo aliviar sua restri¸c˜ao or¸cament´aria e cortar impostos, o modelo apresenta resultados bastante distintos para impostos lump-sum e distorsivos. Para nossa calibra¸c˜ao, a resposta quantitativa de produto e utilidade mostra que ´e poss´ıvel que o efeito na oferta de trabalho gerado por cortes de impostos distorsivos domine a queda no investimento, causada pela escassez de cr´edito nos mercados privados. S˜ao abstra´ıdos, no entanto, os custos de default associados a quebras de contratos, san¸c˜oes externas e transbordamentos de risco entre pa´ıses, que podem ser bastante relevantes em adi¸c˜ao ao impacto sobre o cr´edito no sistema financeiro. Al´em disso, existem trade-offs consider´aveis na trajet´oria de curto e longo prazo das vari´aveis econˆomicas relacionados ao comportamento dos governos e dos bancos.
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Ari, Anil. "Essays in banking and default." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/273246.
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This thesis consists of three chapters. In the first chapter, titled "Aggregate Risk and Bank Risk-Taking", I propose a general equilibrium model in which strategic interactions between banks and depositors may lead to endogenous bank fragility and a drop in investment and output. With some opacity in bank balance sheets, depositors form expectations about bank risk-taking and demand a return on bank deposits according to their risk. This creates strategic complementarities and possibly multiple equilibria: in response to an increase in funding costs, banks may optimally choose to pursue risky portfolios that undermine their solvency prospects. In a bad equilibrium, bank lending is crowded out by risky asset purchases and weak economic fundamentals lead to a banking crisis. Policy interventions face a trade-o¤ between alleviating banks' funding conditions and strengthening their risk-taking incentives. Due to this trade-off, liquidity provision to banks may eliminate the good equilibrium when it is not targeted. Targeted interventions have the capacity to eliminate the bad equilibrium. The second chapter, titled "Gambling Traps", analyzes macroeconomic dynamics under this framework in a dynamic general equilibrium model. I show that self-fulfilling expectations about high bank risk-taking may lead to 'gambling traps' associated with slow recovery from crises. In a gambling trap, high bank funding costs hinder the accumulation of bank net worth, leading to a prolonged period of financial fragility and a persistent decline in economic activity. I bring this model to bear on the European sovereign debt crisis, in the course of which under-capitalized banks in default-risky countries experienced an increase in funding costs and raised their holdings of domestic government debt. The model is quantified using Portuguese data and accounts for macroeconomic dynamics in Portugal in 2010-2016. Finally, I show that subsidized loans to banks, similar to the European Central Bank's longer-term refinancing operations (LTRO) may perpetuate gambling traps. The third chapter, titled ''Shadow Banking and Market Discipline on Traditional Banks'', is joint work with Matthieu Darracq-Paries, Christo¤er Kok, and Dawid · Zochowski. In this chapter, we present a general equilibrium banking model in which shadow banking arises endogenously and undermines market discipline on traditional banks. We show that depositors' ability to re-optimize in response to crises imposes market discipline on traditional banks: these banks optimally commit to a safe portfolio strategy to prevent early withdrawals. With costly commitment, shadow banking emerges as an alternative banking strategy that combines high risk-taking with early liquidation in times of crisis. We bring the model to bear on the 2007-09 financial crisis in the United States, during which shadow banks experienced a sudden dry-up of funding and liquidated their assets. We derive an equilibrium in which the shadow banking sector expands to a size where its liquidation causes a fire-sale and exposes traditional banks to liquidity risk. Higher deposit rates in compensation for liquidity risk also weaken threats of early withdrawal and traditional banks pursue risky portfolios that may leave them in default. Financial stability is achieved with a tax on shadow bank profits or collateralized liquidity support to traditional banks.
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Rizzi, Renata. "Custos de bem-estar dos impostos sob risco de default soberano." Universidade de São Paulo, 2007. http://www.teses.usp.br/teses/disponiveis/12/12140/tde-27092007-170915/.
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Esta dissertação apresenta um modelo de equilíbrio geral dinâmico, com serviço contingente da dívida soberana, construído para analisar os impactos dos impostos sobre o bem-estar. Neste modelo, variações na estrutura tributária (oriundas de reformas) afetam o bem-estar dos agentes de forma direta, em decorrência de distorções alocativas, e também por meio de seus efeitos indiretos sobre o risco de default da dívida soberana. Avalia-se, quantitativamente, para o caso brasileiro, os custos de bem-estar associados a cada tipo de imposto. Obtém-se que a perda total de bem-estar devida aos impostos vigentes no Brasil é próxima de 19% do consumo de longo-prazo. O ranking dos tipos de imposto mostra-se robusto, seja em termos de custos de bem-estar por unidade de receita arrecadada (sob a tributação vigente), seja em termos de custos de bem-estar adicionais por unidade de receita adicional. Do mais eficiente para o menos eficiente: imposto sobre consumo, imposto sobre a remuneração do trabalho, imposto sobre a remuneração do capital. Observa-se que um aumento de receitas tributárias por meio da elevação do imposto sobre o consumo ou do imposto sobre a remuneração do trabalho pode gerar custos negativos de bem-estar. Esta possibilidade existe em economias nas quais a elasticidade da probabilidade de default da dívida com relação às receitas governamentais é suficientemente elevada, e os custos adicionais de default não são desprezíveis. Constata-se ainda que resultados perversos (no sentido de contra-intuitivos e indesejáveis) podem sobrevir a mudanças bem-intencionadas na estrutura tributária.<br>This dissertation presents a general equilibrium model, with contingent service of sovereign debt, constructed to analyze the impacts of taxes on welfare. In this model, variations on the tax structure (originated from reforms) impact welfare directly, in the form of allocative distortions, and also through their indirect effects on the probability of default on sovereign debt. I evaluate, quantitatively, for Brazil, the welfare costs associated to each type of taxation. I find that the total welfare loss due to current taxation in Brazil is close to 19% of long-term consumption. The ranking of tax types demonstrates to be robust, both in terms of welfare costs per unit of revenue raised (under the current tax structure), and in terms of additional welfare costs per unit of additional revenue raised. From the most efficient to the least efficient: consumption tax, labor income tax, capital income tax. I observe that a growth in tax revenues through the increase in either consumption or labor income tax can generate negative welfare costs. This is a possibility in economies in which the elasticity of the probability of default in relation to the level of government revenues is high enough, and additional costs of default are substantial. I also find that perverse results (in the sense of being counter-intuitive and undesirable) may be generated by well-intentioned changes in the tax structure.
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PROSPERI, LORENZO. "Essays on the Political Economy of Debt in Emerging Countries: 1. Strategic Debt and Political Frictions in Small Open Economies. 2. Political Cost of Default and Business Cycle in Emerging Countries." Doctoral thesis, Luiss Guido Carli, 2015. http://hdl.handle.net/11385/200981.
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This thesis is composed by two articles. In the first paper, co-authored with Roberto Pancrazi, we study the
relationship between sovereign debt and political frictions. We model political frictions as a disagreement among
parties about distribution of resources. When analyzing a small-open economy framework we find two important
results. First, when considering standard utility function (CRRA with risk aversion parameter greater or equal to one)
political frictions induce saving (not borrowing) incentives. Second, when introducing retrospective voting, for which
electoral outcomes are affected by recent economic performance, we find that more severe political frictions indeed
lead to stronger borrowing incentives. Then, we use the theoretical predictions of our model to structurally estimate
the country-specific degree of retrospective voting using data on debt, quality of institutions, and election probability
in 56 emerging and transition economies. We find that retrospective voting is strongly related to corruption indices. In
the second paper I study the effect of political frictions in a model where repayment of sovereign debt is not
enforceable. Sovereign default models that study how income fluctuations and the level of debt affect default risk
when sovereign debt is non contingent, are successful in explaining business cycle in emerging economies by matching
the stylized facts of main economic aggregates in normal and default periods but they fail in reproducing jointly the
large levels of debt and spread observed in the data. I introduce political uncertainty in the standard default model of
Arellano (2008): the incumbent has an exogenous probability of not being reappointed in the next period, but in the
case she decides to default, there is a larger probability of losing power. Calibrating political uncertainty on
Argentinian polls data, the model generates realistic levels of debt to gdp and spread without affecting the
performance on the other business cycle statistics.
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Magalhães, Paula Karine Ribas. "IMF Seniority as a compromise for affordable debt." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18279.
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Previous issue date: 2017-05-11<br>Este artigo trata do papel do Fundo Monetário Internacional como um agente sênior, fato observado empiricamente. Um agente soberano sujeito a um choque estocástico deve tomar emprestado para suavizar seu consumo. O mercado financeiro internacional oferece seus fundos, contudo cobra um prêmio por dividir o risco sobre o choque com o governo. O FMI, embora sênior, empresta a uma taxa menor. Encontramos as condições sob as quais a presença do FMI em tal mercado é relevante e positiva ao agente emprestador. Tais condições dependerão do tamanho do prêmio de risco cobrado, que em nossa análise é dado exogenamente.<br>This paper addresses the role of the International Monetary Fund in the international monetary economy as a senior agent, as observed empirically. A sovereign agent subject to a stochastic shock must borrow to smooth out consumption. The international financial market offers fund, however it charges a premium for sharing the risk over the shock with the government. The IMF, however senior, lends at a lower rate. Hence, the sovereign government must choose its borrower. We find conditions under which the IMF presence in such market is relevant and positive to the borrowing agent. Such conditions will depend on the size of the risk premium charged, which in our analysis will be exogenously given
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Fernandes, Renato José Rodrigues. "Rigidez de política fiscal e default na dívida soberana." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10797.
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Previous issue date: 2013-04-09<br>This work aims to investigate the quantitative implications of a fiscal policy rigidity model developed by Gonçalves e Guimaraes (2012) and to answer if it is able to generate more defaults in equilibrium without using a strong ad hoc assumption about the costs in terms of product of a default on sovereign debt in order to be able to generate the desired results according to what is observed in economic data, i.e., that defaults tend to occur in bad times. The main hypothesis of this model is that the government cannot commit to a fiscal adjustment to repay the debt that is coming due because it chooses the tax rate in the previous period. Thus, when facing a low product in a given period, the sovereign cannot adjust its revenue to meet his obligations and has to decide either to increase the level of debt or to repudiate its debt and not repay. In the results, we have that the fiscal rigidity increases the occurrence of defaults in at least one order of magnitude in comparison to other quantitative models of sovereign debt and helps to explain the occurrence of defaults in periods of low product in the Economy.<br>Este trabalho tem como objetivo investigar as implicações quantitativas do modelo de rigidez de política fiscal desenvolvido por Gonçalves e Guimaraes (2012) e responder se ele é capaz de gerar mais defaults em equilíbrio sem se utilizar de uma forte hipótese ad hoc acerca dos custos em termos do produto de um calote na dívida soberana, a fim de conseguir gerar os resultados desejados de acordo com o que se observa nos dados econômicos, isto é, que os calotes tendem a ocorrer em tempos ruins. A principal hipótese deste modelo é que o Governo não pode se comprometer com um ajuste fiscal para repagar a dívida que está vencendo porque ele escolhe a alíquota de imposto no período anterior. Logo, ao se deparar com um produto baixo em determinado período, o soberano não pode ajustar a arrecadação a fim de fazer frente às suas obrigações e se vê diante da decisão de aumentar o nível do endividamento ou de repudiar sua dívida e não pagá-la. Nos resultados, tem-se que a rigidez fiscal aumenta a ocorrência de defaults em pelo menos uma ordem de magnitude comparado a outros modelos quantitativos de dívida soberana e ajuda a explicar a ocorrência de calotes em períodos de baixo produto na Economia.
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Pilař, Tomáš. "Suverénní dluhová krize v Eurozoně." Doctoral thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-200010.
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This dissertation thesis focuses on complex analysis of the problem, which is the sovereign debt crisis in the Euro area. The aim of this paper is to provide a complex overview and analysis of the current sovereign debt crisis, from the theoretical definition of the term, through an analysis of the causes and consequences of this crisis to outline the economic policy response to it. The text is divided into two parts. The first part deals with theoretical problem solving. In the second part is analyzed and described course of sovereign debt crisis. This section also analyzes in detail causes and consequences of the sovereign debt crisis in certain countries. This section is completed by an analysis of economic policy response to the sovereign debt crisis and an expert estimate of the future development of public debt countries analyzed.
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Berg, Florian. "Extra-Financial Risk Factors and the Cost of Debt." Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED030/document.
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Cette thèse a pour ambition d’analyser si la performance environnementale, sociale et de gouvernance (ESG) est intégrée par les marchés de la dette d'entreprise et souveraine. Le premier chapitre se concentre sur les informations ESG publiés à contenu négatif et leur impact négatif sur le coût de la dette. Plus exactement, dans les secteurs industriels et utilitaires les événements négatifs sociaux et de gouvernance font augmenter le coût de la dette. Également, un bon niveau général de performance ESG agit comme un mécanisme d'assurance contre ces événements négatifs. Dans un deuxième chapitre seront présentés les résultats d’une simulation de portefeuille intégrant la performance ESG d'entreprise. Un gérant de portefeuille peut améliorer le niveau agrégé de la performance ESG du portefeuille de 1,5 écart-type sans faire baisser la performance financière. Ainsi, le gérant peut combiner cette intégration avec des stratégies d'allocation d'actif financiers ou des stratégies de rendement absolu. Dans un troisième chapitre les résultats sur la réduction du coût de la dette dû à une bonne performance environnementale et sociale de souverains émergents seront analysés. Enfin dans le quatrième chapitre je décris comment la performance de gouvernance des souverains influence la différence entre le yield émis en devise étrangère et celui émis en devise locale. Dans les pays développés cette différence augmente avec le risque politique, i.e. le yield étranger augmente plus rapidement que le yield domestique. Dans les pays émergents, c'est l’effet inverse qui est observé. Cette différence entre les deux yields varie plus fortement avec un taux croissant de la dette domestique détenue par des investisseurs étrangers<br>This thesis analyzes if and to what extent debt markets value the environmental, social and governance (ESG) performance of firms and sovereigns. The first chapter shows that negative ESG news has a negative impact on the cost of debt of firms. The news relates to environmental and social events within the industrial/utilities sector. In this sector, a sound corporate social performance acts as an insurance against the adverse impact of negative environmental events on bond prices. The second chapter reveals that ESG scores integrated into portfolios do not change the financial performance ex post. A portfolio manager can increase the average ESG rating of her portfolio by 1.5 standard deviations without incurring cost. This leaves substantial room and opportunity for ESG ratings to be combined with asset allocation or absolute return strategies. The third chapter shows how ESG performance is linked to a lower cost of debt of emerging sovereigns. Research indicates that an emerging country’s average cost of capital decreases with its positive environmental and social performance. The fourth chapter discusses how governance performance may influence the spread of debt denominated in local and foreign currency. In developed countries, the spread between a foreign currency yield and a hedged local currency yield increases with our political risk indicator, i.e. the foreign yield increases faster than the domestic one. For emerging countries, the reverse trend is true. Interestingly, the foreign currency and local currency yield spreads move significantly stronger in absolute terms with increasing foreign investment participation in both emerging countries and developed countries’ debt markets
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Lequesne-Roth, Caroline. "L'évolution du régime contractuel de défaut des Etats débiteurs européens." Thesis, Toulon, 2015. http://www.theses.fr/2015TOUL0095.
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La mise en finance de la dette d'Etat, et les crises auxquelles elle donne lieu, font de l'instauration d'un cadre juridique régissant la restructuration et le défaut des dettes d'Etat, un enjeu majeur pour l'Europe. En l'absence d'un droit européen de la « faillite » d'Etat, un régime de défaut a émergé sur le terrain de la pratique, dans les contrats d'emprunt d'Etat obligataires. Les Etats européens ont en effet privilégié une approche décentralisée et volontaire de la restructuration des dettes d'Etat : le contrat d'emprunt d'Etat établit les règles qui organisent les relations de dette entre les Etats débiteurs et leurs créanciers privés. Sous l'effet de l'intégration financière européenne, ce régime de défaut revêt des formes de plus en plus standardisées. Le présent travail consiste à identifier les éléments constitutifs du régime contractuel de défaut des Etats européens, à en apprécier le caractère idoine à l'aune des besoins de l'Etat et à en évaluer la portée. Il adopte pour ce faire une méthode pragmatique, basée sur une analyse empirique des contrats et une étude de cas.Il ressort de celles-ci que le régime de défaut contractuel des Etats européens conduit à l'abandon, l'érosion voire la suppression des prérogatives exorbitantes de droit commun qui étaient traditionnellement attachées à la qualité de souverain des Etats emprunteurs. D'une part, les Etats consentent, pour assurer l'attractivité de leurs titres de créance sur le marché européen très concurrentiel des dettes d'Etat, à adopter des dispositions attentatoires à leur souveraineté, qui les privent de la marge de manœuvre nécessaire à l'adoption de mesures de sauvegarde adaptées en cas de crise de la dette. D'autre part, les deux principaux fors compétents - les juridictions anglaises et new-yorkaises - ont consacré la force obligatoire des contrats d'emprunt d'Etat, lesquels priment les considérations d'intérêt général qui jadis fondaient le défaut souverain. En effet, la jurisprudence libérale de ces fors, favorables aux créanciers de l'Etat, ont encouragé la professionnalisation des requérants et le développement d'une industrie contentieuse du défaut d'Etat, communément désignée comme l'industrie des « fonds vautours». Les stratégies contentieuses agressives déployées par ces nouveaux acteurs ont permis d'obtenir la condamnation des Etats défaillants et des mesures de contrainte sur le terrain encore très préservé par l'immunité d'exécution des Etats. Cette thèse a ainsi pour enjeu, et s'inscrit, dans le débat contemporain relatif à la transformation de l'Etat européen sous le poids de son endettement<br>Sovereign debts’ financiarization is a global phenomenon affecting a very substantial number of States in Europe. Nevertheless, European State insolvency has not been implemented. This legal loophole didn't lead to legal uncertainty : a State default's European regime has emerged from practical experience in sovereign debt contracts. Those contracts include harmonised standards : States adopted boilerplates with the aim of contributing to effective debt market and providing liquidity. Promotion and circulation of boilerplates have been made easier by the fact that many States turn to lawyers for their financial affairs. In fact, sovereign consultancy market remains concentrated among a few major law firms. Given the spread of sovereign debt crisis, which also affected developed economies, contract « as statute » has become a major issue for all democracies. The first part intends to identify and map European boilerplates, reflecting regional particularities ; to analyse them and assess their effectiveness and efficiency in crisis conditions. The second analyses the case law that has developed over the years regarding sovereign debt contract. The European States' default contractual regime had led to the dismissal of prerogatives derogating from the generally applicable rules of law, which States used to enjoy within their financing operations. This research has both practical and prospective dimensions, aiming at putting forward proposals to deal with sovereign debt crisis
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Guinsburg, Pedro Vaissman. "The Eaton-Gersovitz-Arellano environment with collateral." reponame:Repositório Institucional do FGV, 2014. http://hdl.handle.net/10438/11787.
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Previous issue date: 2014-04-30<br>In this article I introduce collateralization in the Eaton-Gersovitz-Arellano environment. In my paper, collateral can be understood as Foreign Direct Investment. I find that collateral increases the equilibrium levels of defaultable debt and, at the same time, avoids the use of default. Restrictions of collateral leads to higher use of default in equilibrium.<br>Neste artigo eu introduzo colateralização no ambiente de dívida soberana de Eaton-Gersovitz-Arellano. Esta colateralização pode ser vista como Investimento Estrangeiro Direto. A entrada de recursos colateralizados serve como uma estratégia de comprometimento dos países. Ao abrir a economia para este tipo de aporte de recursos, meu modelo prescreve maior tomada de dívida em equilíbrio pelos países e menos uso de default como instrumento de suavização da trajetória de consumo. Além destas características, eu mostro que limitação de colateral pode gerar mais default em equilíbrio do que um modelo sem Investimento Estrangeiro Direto ou colateral.
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Viennot, Mathilde. "Crises financières, accumulation de dette et défaut souverain." Thesis, Paris, EHESS, 2017. http://www.theses.fr/2017EHES0166/document.
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Cette thèse contribue à la littérature sur le défaut souverain en offrant une nouvelle approche d'analyse, réconciliant les approches statistiques et structurelles. Avec comme fil rouge le lien entre crises financières, accumulation de dette et défaut souverain, ce travail répond à trois questions principales.En premier lieu, quand les pays font-ils défaut ? En posant un simple regard sur les principales variables macroéconomiques et les composantes cycliques des défauts souverains, je montre que le défaut se produit quand le pays subit un retournement brutal de croissance, ajouté à un large choc discontinu sur son ratio de dette sur PIB, apporté en majorité par une crise de change ou une crise bancaire.En second lieu, en quoi le risque souverain au sein d'une zone monétaire (par exemple la zone euro) diffère de celui d'une petite économie ouverte en change flexible, majoritairement décrit dans la littérature ? Je construis un modèle DSGE néo-keynésien dans lequel j'introduis du risque souverain ; je mets l'accent sur le rôle clé des comportements de consommation, à la fois dans la préférence pour l'union monétaire et dans la décision de défaut. Je regarde également l'efficacité de certaines politiques fiscales sur la réduction du risque souverain dans une zone monétaire.Enfin, les instruments de politique monétaire ont-ils été efficaces pendant la crise pour réduire les taux souverains ? J'évalue la transmission de la politique monétaire de la BCE, à la fois conventionnelle et non-conventionnelle, aux taux et aux volumes d'émissions de titres souverains pour les quatre plus importantes économies européennes. Je montre que seule la transmission du taux directeur vers les taux souverains a été effective ; les instruments non-conventionnels ont eu des résultats contrastés et essentiellement sur les taux d'intérêt<br>This thesis offers a new approach to sovereign default analysis, by tackling both statistical and the structural approaches to sovereign default. Starting from the link between financial crises, debt accumulation and sovereign default, it answers three main questions.First, when do countries default? Taking a simple look at macroeconomic variables and business cycles around default, I show that economic defaults occur when the country experiences a switch from a boom to a bust, combined with a large discontinuous shock on its debt-to-GDP ratio, brought mainly by a currency or a banking crisis.Second, how sovereign risk in a monetary union (e.g. the Eurozone) differs from sovereign default risk in a small open economy usually described in default literature? Constructing a New-Keynesian DSGE model with sovereign default risk, I exhibit the key role of habit persistence in the preference for a monetary union and the default decision. I am also able to test the efficiency of various policy tools on sovereign risk.Third, have monetary policy tools been efficient to reduce sovereign spreads in the Eurozone? I assess the transmission of ECB monetary policies, conventional and unconventional, to both interest rates and bond issuance for the four largest economies of the Euro area. The main result is that only the pass-through from the ECB rate to interest rates has been effective. Unconventional policies have had uneven effects and primarily on interest rates
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Suddason, Karina. "Exploring issues in empirical finance : international evidence on payout ratio, returns, earnings and dividends ; investigating duration dependence in bull and bear markets ; using survival analysis approach to model the duration of sovereign debt default." Thesis, University of Southampton, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.442776.
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Teles, Nadine Cristina Bastos. "Effects of the Banking Union in the risk perception of the portuguese economy." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7782.
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Mestrado em Economia Internacional e Estudos Europeus<br>Esta Dissertação tem como objetivo compreender quais podem ser os efeitos esperados da criação de uma União Bancária na perceção de risco da economia portuguesa, ou seja, de que forma a decisão de completar a integração financeira da UEM através do estabelecimento de uma estrutura institucional que assegura uma supervisão, resolução e um esquema de segurança de depósitos centralizados, pode prevenir a falta de confiança dos mercados financeiros de aumentar a perceção de risco do país. Este estudo justifica-se pelo facto de a crise das dívidas soberanas ter revelado a necessidade de se completar a integração financeira da Europa, dado que uma UEM incompleta trouxe ao de cima as consequências negativas da interdependência entre risco soberano e bancário na zona euro. No caso de Portugal, considera-se que uma dívida acumulada desde 2001 e o resgate dos bancos BPN e BPP, juntamente com um efeito de contágio da Grécia e Irlanda, minaram o sentimento dos mercados financeiros relativamente à sua capacidade de financiamento, aumentando a perceção de risco de que poderia entrar em incumprimento. Através da avaliação das mais recentes tendências das obrigações da dívida pública a 10 anos e spreads de CDS a 5 anos, conclui-se que o anúncio da União Bancária no verão de 2012 parece ter tido algum efeito positivo na perceção de risco de Portugal, que esforços para acelerar o processo de estabilidade financeira do país estão a mostrar resultados e que os instrumentos já aprovados no âmbito da União Bancária são um passo na direção certa.<br>This Dissertation aims at understanding what the expected effects of the creation of a Banking Union in the risk perception of the Portuguese economy may be. In other words, in what ways the decision to complete the financial integration of the Economic and Monetary Union by establishing an institutional structure that assures a centralized banking supervision, resolution and deposit guarantee scheme, may prevent the lack of confidence from financial markets to increase the country's risk perception. This study is justified by the fact that the sovereign debt crisis brought up the need to complete Europe's financial integration, since an incomplete Economic and Monetary Union brought forward the negative consequences of the interdependence between sovereign and banking risk in the euro area. In Portugal's case, it is considered that an accumulated debt since 2001 and the bail-out of banks BPN and BPP, together with a spill-over effect from Greece and Ireland, undermined the financial markets' sentiment towards Portugal's ability to finance itself, increasing the country's risk perception of going into default. Through the assessment of recent trends in 10 year Government bond yields and 5 year CDS spreads, it can be concluded that the announcement of a Banking Union in the summer of 2012 seems to have had some positive effects in the risk perception of the Portuguese economy, continued efforts to accelerate the country's process of financial stability are showing results and the instruments already approved within the Banking Union's framework are a step in the right direction.
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Hund, John Eric. "Variance and covariance dynamics in emerging sovereign credit markets /." Digital version accessible at:, 2000. http://wwwlib.umi.com/cr/utexas/main.
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Balima, Weneyam Hippolyte. "Essays on economic policies and economy of financial markets in developing and emerging countries." Thesis, Université Clermont Auvergne (2017-2020), 2017. http://www.theses.fr/2017CLFAD024/document.
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Cette thèse s'intéresse aux questions d'accès aux marchés financiers dans les économies émergentes et en développement. La première partie donne un aperçu général des conséquences macroéconomiques de l'un des régimes de politique monétaire le plus favorable au marché - le ciblage d'inflation - en utilisant le cadre d'analyse de la méta-analyse. La deuxième partie analyse le risque et la stabilité des marchés obligataires des États. La troisième et dernière partie examine les effets disciplinaires résultant de la participation aux marchés obligataires souverains. Plusieurs résultats émergent. Au chapitre 1, les résultats indiquent que la littérature sur les effets macroéconomiques du ciblage d'inflation est sujette à des biais de publication. Après avoir purgé ces biais, le véritable effet du ciblage d'inflation reste statistiquement et économiquement significatif à la fois sur le niveau de l'inflation et la volatilité de la croissance économique, mais ne l’est pas sur la volatilité de l'inflation ou le taux de croissance économique réel. Aussi, les caractéristiques des études déterminent l’hétérogénéité des résultats de l'impact du ciblage d’inflation dans les études primaires. Le chapitre 2 montre que l'adoption d'un régime de ciblage d'inflation réduit le risque souverain dans les pays émergents. Cependant, cet effet varie systématiquement en fonction du cycle économique, de la politique budgétaire suivie, du niveau de développement et de la durée dans le ciblage. Le chapitre 3 montre que les envois de fonds des migrants, contrairement aux flux d'aide au développement, permettent de réduire le risque souverain. Cette réduction est plus marquée dans un pays avec un système financier moins développé, un degré d'ouverture commerciale élevé, un espace budgétaire faible et sans effet dans les pays dépendants des envois de fonds. Le chapitre 4 montre que les pays ayant des contrats d’échange sur risque de crédit sur leurs dettes sont plus sujets à des crises de dette. Il constate également que cet effet reste sensible aux caractéristiques structurelles des pays. Le chapitre 5 montre que la participation aux marchés obligataires de long terme (domestiques et internationaux) encourage les gouvernements des pays en développement à accroître leurs recettes fiscales intérieures. Il révèle également que l'effet favorable dépend du niveau des recettes de seigneuriage, d’endettement, du régime de change, du niveau de développement économique, du degré d’ouverture financière, et du développement financier. Le chapitre 6 montre que la présence de marchés obligataires domestiques, de long terme et liquides réduit considérablement le degré de dollarisation financière dans les pays en développement. Cet effet est plus important dans les pays avec un régime monétaire de ciblage d’inflation ou de change flottant, et à règles budgétaires. Enfin, il constate que la présence de marchés obligataires domestiques réduit la dollarisation financière à travers la baisse du niveau et de la variabilité de l'inflation, de la variabilité du taux de change nominal, et des revenus de seigneuriage<br>This thesis focuses on some critical issues of the access to international financial markets in developing and emerging market economies. The first part provides a general overview of the macroeconomic consequences of one of the most market-friendly monetary policy regime—inflation targeting—using a meta-regression analysis framework. The second part analyses government bond market risk and stability. The last part investigates the disciplining effects of government bond market participation—bond vigilantes. In Chapter 1, the results indicate that the literature of the macroeconomic effects of inflation targeting adoption is subject to publication bias. After purging the publication bias, the true effect of inflation targeting appears to be statistically and economically meaningful both on the level of inflation and the volatility of economic growth, but not statistically significant on inflation volatility or real GDP growth. Third, differences in the impact of inflation targeting found in primary studies can be explained by differences in studies characteristics including the sample characteristics, the empirical identification strategies, the choice of the control variables, inflation targeting implementation parameters, as well as the study period and some parameters related to the publication process. Chapter 2 shows that the adoption of inflation targeting regime reduces sovereign debt risk in emerging countries. However, this relative advantage of inflation targeting—compared to money or exchange rate targeting—varies systematically depending on the business cycle, the fiscal policy stance, the level of development, and the duration of countries’ experience with inflation targeting. Chapter 3 shows that remittances inflows significantly reduce bond spreads, whereas development aid does not. It also highlights that the effect of remittances on spreads arises in a regimes of lower developed financial system, higher degree of trade openness, lower fiscal space, and exclusively in non-remittances dependent regimes. Chapter 4 indicates that countries with credit default swaps contracts on their debts have a higher probability of experiencing a debt crisis, compared to countries without credit default swaps contracts. It also finds that the impact of credit default swaps initiation is sensitive to several structural characteristics including the level of economic development, the country creditworthiness at the timing of credit default swaps introduction, the public sector transparency, the central bank independence; and to the duration of countries’ experiences with credit default swaps transactions. Chapter 5 shows that bond markets participation encourages government in developing countries to increase their domestic tax revenue mobilization. Finally, it finds that bond markets participation improves the mobilization of internal taxes, compared to tax on international trade, and reduces their instability. Chapter 6 shows that the presence of domestic bond markets significantly reduces financial dollarization in domestic bond markets countries. This effect is larger for inflation targeting countries compared to non-inflation targeting countries, is apparent exclusively in a non-pegged exchange rate regime, and is larger when there is a fiscal rule that constrains the conduct of fiscal policy. Finally, it finds that the induced drop in inflation rate and its variability, nominal exchange rate variability, and seigniorage revenue are potential transmission mechanisms through which the presence of domestic bond markets reduces financial dollarization in domestic bond markets countries
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Joo, Hyungseok. "Essays on sovereign debt and default." Thesis, 2015. https://hdl.handle.net/2144/14049.
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The first chapter studies the effects of government capital accumulation on sovereign debt default risk and debt restructuring renegotiation outcomes when a government has limited ability to extract revenues from households. To do so, this chapter develops a quantitative dynamic stochastic general equilibrium model of sovereign default, debt renegotiation, and fiscal policies, where the government chooses between the fiscal expenditures of government consumption and government investment. Government capital provides an additional means of adjustment in the face of a bad productivity shock. It also affects the government's incentive to re-access the international credit market when the government chooses to default. The model delivers three key predictions: (1) a higher level of government capital implies less risky sovereign debt and higher recovery rates when the government chooses to default; (2) a high debt to output ratio is sustainable with a sufficient level of government capital; (3) fiscal adjustment that reduces public investment may be self-defeating.
The second chapter investigates the empirical facts that government expenditures and taxes are procyclical in developing countries but countercyclical or acyclical in developed economies. This chapter provides a possible explanation for this stylized fact by introducing news about future total factor productivity and endogenous fiscal policy in an otherwise-standard small open economy model of sovereign default risk, as in Arellano (2008). News tends to be more precise in developed countries, which relaxes credit constraints on foreign borrowing and makes developed countries less reliant on tax revenues. This dampens and potentially reverses the high correlation between output and government expenditures/taxes observed in developed countries.
The third chapter studies the impact of creditors' income process on the outcomes of sovereign debt restructurings. This chapter compiles a new dataset on foreign creditors' income process during negotiation. This chapter shows that when foreign creditors are facing high income, restructurings are protracted and result in smaller haircuts. To explain these stylized facts, this chapter develops a dynamic stochastic general equilibrium model of defaultable debt that embeds multi-rounds negotiations between a risk-averse sovereign and risk-averse creditors. The quantitative analysis shows that high creditors' income results in a longer duration of restructuring and higher haircuts.
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ROOS, Jérôme E. "Why not default? : the structural power of finance in sovereign debt crises." Doctoral thesis, 2016. http://hdl.handle.net/1814/41404.
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Defence date: 19 May 2016<br>Examining Board: Professor Pepper D. Culpepper, European University Institute (supervisor); Professor László Bruszt, European University Institute; Professor Robert H. Wade, London School of Economics; Professor Daniel Mügge, University of Amsterdam.<br>This thesis aims to answer a simple question with far-reaching implications: why do heavily indebted peripheral states not default on their external debts more often? Building on case studies of substantively important sovereign debt crises in Mexico (1982-'89), Argentina (1999-'05) and Greece (2010-'15), the findings of this research demonstrate that the traditional explanations of debtor compliance proposed in the economics literature - centering on reputation, sanctions and democratic institutions - hold limited explanatory power. Instead, the thesis spells out a political economy approach to sovereign debt that recognizes the importance of social conflicts and power struggles over the distribution of adjustment costs. In these conflicts, it is argued that finance possesses a unique advantage over indebted states: through its capacity to withhold the short-term credit lines on which the latter depend for their reproduction, lenders can inflict debilitating spillover costs that greatly limit the debtor's room for maneuver. This structural power of finance has increased markedly as a result of globalization and financialization, and the main objective of this project is to identify the exact mechanisms through which it operates and the conditions under which it is effective and under which it breaks down. The findings highlight the importance of debt concentration in the lending structure (which eases the formation of creditors' cartels, strengthening market discipline); the exposure of big banks and institutional lenders in core countries (which compels creditor states and international financial institutions to intervene as lenders of last resort and provide emergency loans under strict policy conditionality); and the bridging role fulfilled by bankers and elites inside the borrowing country (which endows them with a privileged position in financial policymaking and internalizes fiscal discipline into the debtors' state apparatus). The thesis concludes by spelling out the implications of these findings for the quality of democracy and the study of political economy more generally.
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Kitsukawa, Yoshifumi, and 橘川宜史. "An Analysis of Japan’s Sovereign Debt Default Risk and." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/94237308116285177604.
Full textAbstract:
碩士<br>國立交通大學<br>企業管理碩士學程<br>100<br>Since Financial Crisis in US in 2008 and series of European economic instabilities including
Greece, Spain, Portugal, and Italy, the sovereign default risk, a problem for developing countries
in the past, becomes a more common problem even for developed countries. Japan is not an
exception. Japan has been suffering from stagnation after real estate market bubble-burst in 1990.
This continuing stagnation put both academic and policy makers into the potential possibility of
Japanese sovereign default. Although there are a number of researches about Japanese sovereign
default risk, little research has offered comparative review for economic conditions, as well as
cultural conditions. Thus, this study attempt to compare Japan with both high default risk
countries (Greece, Portugal, Spain, Italy) and low default risk countries (United States, United
Kingdom, Germany, France, and Canada) in terms of both economic and cultural indices.
The results show that Japan’s economic condition is more close to the ones of low sovereign
default risk countries while its culture is rather similar to the one of high default risk countries.
The study goes further to analyze the main economics issues of Japan and proposes the solution.
Due to recovering from inflated debt after the bubble burst, Japanese companies started to save
cash rather than investment for future growth. This decrease in domestic investment from private
company led to lower GDP growth and shrinking consumption so that Japanese government had
to increase expenditure resulting increasing deficit. All the problems created vicious cycle leading
economic stagnation, even deflation. Thus, increasing investment of domestic company would be
the key to recover Japanese economy in the future. However, it can be difficult to achieve because
this risk-averse attitude of Japanese companies come from special Japanese culture which is the
tendency toward to risk avoidance.
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Bernardo, Sandra. "Theory and evidence on self-fulfilling sovereign debt crises." Doctoral thesis, 2016. http://hdl.handle.net/10362/19297.
Full textAbstract:
This work analyzes theoretically and empirically the potential self-fulfilling features of sovereign debt crisis. The theoretical model modifies Cole and Kehoe (1996, 2000) by considering that the default is partial. In the model, there are debt limits within which self-fulfilling crises may occur. The numerical results show that, within the crisis zone, up to an intermediate debt level, the optimal government policy is to run down the debt until it reaches the safe limit to avoid higher borrowing costs. Above a certain amount, however, the government chooses to run up the debt, to avoid sharp reduction in government spending. The empirical investigation assesses the determinants of the probability of default in Portugal. The model builds on Jeanne and Masson (2000) and is brought to Portuguese data using a Markov-switching regime framework. The results show that between 2000-14 two regimes subsisted: a tranquil and a crisis regime. The switch between regimes seems to be unrelated with macroeconomic fundamentals, which is interpreted as self-fulfilling jumps in the beliefs of credit markets.
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Vocke, Matthias. "Default risk premia on sovereign debt : an analysis on default risk and devaluation risk for selected OECD countries /." 1999. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008787039&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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JAROS, Daniela. "Tracing the law of sovereign debt within and beyond the state." Doctoral thesis, 2014. http://hdl.handle.net/1814/32102.
Full textAbstract:
Defence date: 22 January 2014<br>Examining Board: Professor Dennis Patterson, European University Institute Professor Petros Constantinos Mavroidis, European University Institute Professor Georgios Pavlakos, University of Antwerp Professor Mathias Audit, Université Paris Ouest-Nanterre La Défense.<br>Co-laureate of the Grand Prix Jean Bastin in 2015<br>This thesis guides the reader through contemporary problems of the law of sovereign debt and default. Adopting a horizontal approach to the field, the state in its double role of being a borrower from the market and a regulator of the market remains at the center of this inquiry. How do problems related to sovereign debt challenge state institutions, constitutional principles and even the very concept of statehood? What kind of tools does the state have at its disposal to address these problems? Can the state improve both, its own role as a borrower and the overall functioning of the sovereign debt market? These are the core questions discussed in this thesis on the basis of numerous examples. A detailed analysis of the practice of sovereign debt is followed by an account of case law primarily from municipal courts dealing with sovereign debt disputes. The IMF's 'bailouts' are reviewed in the light of the constitutions of the recipient states before in a last chapter, a full account of the Euro crisis and its particularities is given. All these examples show strengths and weaknesses of the state's role as borrower and regulator and ultimately indicate where and how the law of sovereign debt can be improved.
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Ahiadorme, Johnson Worlanyo. "Essays on Monetary Policy, Inclusive Growth, and Sovereign Defaults." Doctoral thesis, 2022. http://hdl.handle.net/11562/1072566.
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Abstract: This thesis provides a timely analysis of important topical issues facing the monetary policy front and the global economy, building on the research on sovereign default risk and more recent developments in the literature on the implications of monetary policy for inclusive growth and income inequality. The thesis starts with an evaluation of the monetary policy transmission and income inequality in Sub-Saharan Africa (SSA) countries. I find a procyclical response of income inequality to unanticipated monetary easing in the last two decades. Countercyclical monetary measures may have been efficient, but they have been dis-equalising as well. The second part evaluates how financial development affects the distributive channel of monetary policy. This chapter provides a unique view from Sub- Saharan Africa on the role of the financial structure in the transmission mechanism, from monetary policy to income inequality. The findings show that the financial system plays an important role in the redistributive effects of monetary policy. The evidence shows that the strength of the monetary transmission is more dependent on financial development than the nature of the policy regime. The third chapter evaluates the role of monetary policy towards inclusive growth. The evidence from a large sample of countries shows that monetary policy that aims at low inflation and stable economic growth is most likely to improve permanently, growth inclusiveness and the conditions of the poor. Thus, the twin objectives of macroeconomic stability and inclusive growth offer no trade-offs. Finally, I empirically analyse the impacts of debt reliefs during the period 1990–2019 on the sovereign debt crises of developing and emerging countries. The analysis shows that the debt reliefs provided thus far failed to ease the debt overhang problems of developing and emerging countries. The current debt relief schemes may underscore the prospects of self-enforcing and self-fulfilling sovereign debt crises rather than eliminating the dilemma completely. Regarding the forms of debt relief, the analysis shows that debt forgiveness offers favourable prospects in terms of debt sustainability and economic outcomes than debt rescheduling.<br>Sintesi: Questa tesi fornisce un'analisi di importanti questioni di attualità riguardanti la politica monetaria e l'economia globale, basandosi sulla ricerca sul rischio di insolvenza sovrano e sugli sviluppi più recenti nella letteratura sulle implicazioni della politica monetaria per la crescita inclusiva e la disuguaglianza di reddito. La tesi inizia con una valutazione della trasmissione della politica monetaria e della disuguaglianza di reddito nei paesi dell'Africa subsahariana (SSA). Il risultato è una risposta prociclica della disuguaglianza di reddito all'allentamento monetario imprevisto negli ultimi due decenni. Le misure monetarie anticicliche possono essere state efficienti, ma sono state anche disuguali. La seconda parte valuta come lo sviluppo finanziario influisca sul canale distributivo della politica monetaria. Questo capitolo fornisce una visione sul ruolo della struttura finanziaria nel meccanismo di trasmissione, dalla politica monetaria alla disuguaglianza di reddito nell'Africa subsahariana. I risultati mostrano che il sistema finanziario gioca un ruolo importante negli effetti redistributivi della politica monetaria e che la forza della trasmissione monetaria dipende più dallo sviluppo finanziario che dalla natura del regime politico. Il terzo capitolo valuta il ruolo della politica monetaria rispetto alla crescita inclusiva. L'evidenza di un ampio campione di paesi mostra che la politica monetaria che mira a un'inflazione bassa e a una crescita economica stabile ha maggiori probabilità di migliorare in modo permanente, l'inclusione della crescita e le condizioni dei poveri. Pertanto, i due obiettivi della stabilità macroeconomica e della crescita inclusiva non sono reciprocamente in contrasto. Infine, viene analizzato empiricamente l'impatto dei programmi di sgravio del debito nel periodo 1990–2019 sulle crisi del debito sovrano dei paesi in via di sviluppo ed emergenti. L'analisi mostra che questi interventi finora non sono riusciti ad alleviare i problemi di eccesso di debito in questi paesi. Gli attuali schemi di sgravio del debito possono aumentare la possibilità di crisi del debito sovrano in quanto le aspettative di crisi del debito si autoalimentano e si autoavverano piuttosto che eliminare completamente il dilemma. Per quanto riguarda le forme di cancellazione del debito, l'analisi mostra che la remissione del debito offre prospettive favorevoli in termini di sostenibilità del debito e risultati economici rispetto alla sua rinegoziazione.
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Leocádio, Tiago Jorge Cunha Direito. "Comportamento do mercado de Credit Default Swaps num contexto de reestruturação de dívida : o caso de Chipre." Master's thesis, 2014. http://hdl.handle.net/10400.14/36135.
Full textAbstract:
Este trabalho, realizado no âmbito do mestrado de finanças, na modalidade de dissertação, vai procurar demonstrar e estudar o comportamento do mercado dos Credit Default Swaps em processos de reestruturação de dívida. Para o efeito, foi escolhido o estudo de caso de Chipre, o exemplo mais recente de intervenção financeira por parte da União Europeia. O conceito principal desta dissertação é o de Credit Default Swaps, um instrumento financeiro que funciona como um seguro. Ou seja, fornece ao seu portador um seguro contra o risco de falência de uma empresa ou país. Para a investigação do estudo de caso presente neste trabalho, foi realizada uma elevada pesquisa de peças jornalísticas e outros estudos que permitiram descortinar tudo o que aconteceu no país antes e depois do evento mais importante dos últimos anos: o bail-in imposto pela Troika. Através de uma análise do mercado de CDS de Chipre antes e depois do chamado Black Saturday, será possível afirmar que, passado três meses, o acordo implementado veio piorar a situação do país, no que diz respeito ao seu risco de falência. Por ultimo, foi feito um modelo econométrico que clarifica que aquilo que ocorre no mercado de CDS grego contagia, consequentemente, o mercado de Chipre.<br>This work, developed under the master’s degree of finance, in the form of dissertation, will seek to demonstrate and study the behaviour of the market of Credit Default Swaps on debt restructuring procedures. For this purpose, the case study of Cyprus, the latest example of financial assistance from the European Union, was chosen. The main concept of this paper is the Credit Default Swaps, a financial instrument that works like an insurance. Namely give to its holder an insurance against the risk of bankruptcy of a company or country. For the investigation of the case study, present in this work, it was made a large research of journalistic articles and other studies that unveil everything hat happened in the country before and after the most important event of recent years: the bail-in imposed by Troika. Through an analysis of the CDS market in Cyprus before and after the so-called Black Friday, it can be said that passed three months, the implemented agreement only came to worsen the situation in the country, regarding it’s bankruptcy risk. Finally, it was made an econometric model that clarifies that, what occurs in Grecee is currently affecting the Cyprus CDS market.
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Matos, Gonçalo Emanuel Ribeiro. "Contágio Centro-Periferia : uma análise conjunta para o mercado de Credit Default Swaps sobre dívida soberana na Zona Euro." Master's thesis, 2015. http://hdl.handle.net/10400.14/19332.
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Com este trabalho pretende-se estudar se existe contágio entre os países da
Periferia da União Económica e Monetária (UEM) e os países do Centro no
contexto da crise de dívida soberana, propagado através do mercado de Credit
Default Swaps de dívida soberana.
Na análise empírica foi utilizado um modelo tri-etápico para determinar o
efeito de contágio. As três etapas são: i) um modelo GARCH univariado; ii) um
modelo GARCH multivariado com obtenção da correlação condicional; e iii)
uma análise de reverse causality. Estas etapas permitem detetar o efeito de
contágio através quer da análise da volatilidade, quer da análise gráfica das
correlações condicionais, assim como refutar a mera inter-dependência através
da análise de reverse causality.
Conclui-se que existe de facto contágio pelo menos da Grécia para a
Alemanha, sendo que a análise entre Portugal e a Alemanha não permite
constestar a hipótese de inter-dependência entre os dois países. Uma outra
conclusão relevante é que os mercados de CDS de dívida soberana aparentam
ter uma certa sensibilidade temporal face à possibilidade de default de uma
entidade soberana.<br>In this thesis we intend to study if there is contagion between countries on
the Periphery of the Economic and Monetary Union (EMU) and countries in its
core, during the sovereign debt crisis. We also assess if such possible contagion
is propelled by the sovereign Credit Default Swaps market.
In the empirical analysis, we have used a three-stage approach to test for
contagion effects. The three stages are: i) a univariate GARCH model; ii) a
multivariate GARCH model with the resulting conditional correlations; and iii)
a reverse causality analysis. These steps allow us to detect whether there are
contagion effects through the analysis of volatility and the graphic analysis of
the conditional correlations, as well as refuting the mere interdependence
scenario through reverse causality analysis.
We conclude that there is in fact contagion at least from Greece to Germany,
as the analysis between Portugal and Germany does not allow us to contest the
interdependence hypothesis. Another relevant finding is that the term structure
of the sovereign CDS market seems to have a certain sensitivity to the
possibility of default of a sovereign entity.
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Mendes, Célio Miguel Leite. "Credit Default Swaps e a evidência da hipótese de contágio entre países periféricos da zona euro na crise de dívida soberana." Master's thesis, 2018. http://hdl.handle.net/10400.14/26383.
Full textAbstract:
Diversos estudos, com metodologias diferentes, enfoques variados têm mostrado um ponto comum: que o contágio durante a crise da zona euro, a existir, não é claramente da periferia para o centro. Os mercados tenderam a fazer repercutir as suas expectativas de default de países periféricos sobre outros países periféricos, com impactos mínimos no core da UEM.
O problema surge a dois níveis: a definição de contágio financeiro está longe de ser consensual na literatura. Ademais, as metodologias para aferir o contágio, ainda que passando maioritariamente pelo procedimento DCC-MGARCH de Engle e Sheppard (2001), tendem a ser multietápicos, não havendo nenhuma standardização sobre quais são essas outras etapas. Oliveira e Santos (2014) forneceram suporte a um procedimento trietápico, assente na possibilidade da identificação em cada momento da fonte, e diferenciando contágio de interdependência. Contudo, as possibilidades de um procedimento único, que numa etapa determinasse o mecanismo de propagação e a existência de contágio estão pouco investigadas. O presente estudo visou, com base em CDS sobre Dívida Soberana, analisar a hipótese de contágio entre países periféricos da zona euro, durante a crise de dívida soberana.Com base nas metodologias DCC-MGARCH (Engle e Shephard 2001) e procedimento trietápico (Oliveira e Santos 2014), concluiu-se que: (i) existe contágio da Espanha para a Itália; (ii) existe interdependência entre Irlanda e Portugal; (iii) existe interdependência entre Irlanda e Espanha; (iii) não existe contágio entre os restantes países.<br>Several studies, with different methodologies and diverse approaches have shown a common point: contagion during the eurozone crisis, if any, is clearly not from the periphery to the center. Markets have tended to reflect their default expectations from peripheral countries over other peripheral countries, with minimal impacts on the core of EMU.
The problem arises on two levels: the definition of financial contagion is far from being consensual in literature. In addition, the methodologies to measure the contagion, although passing mainly by the DCC-MGARCH procedure of Engle and Sheppard (2001), tend to be multistage, with no standardization on what these other stages are. Oliveira e Santos (2014) provided support for a tri-stage procedure, based on the possibility of identification at each moment of the source, and differentiating contagion from interdependence. However, the possibilities of a single procedure, which at one stage determined the mechanism of propagation and the existence of contagion, are poorly investigated. Even with the instruments most commonly used in this type of studies: Credit Default Swaps (CDS) on Sovereign Debt. The current study aimed, based on CDS over sovereign debt, to investigates the hypothesis of contagion between the peripheric countries of euro zone in the sovereign debt crisis.Based on DCC-MGARCH methodology (Engle e Sheppard 2001) and tri-stage procedure (Oliveira e Santos 2014) it is concluded that: (i) there exist contagion from Spain to Italy; (ii) there exist interdependence between Ireland and Portugal; (iii) there exist interdependence between Ireland and Spain; (iii) doesn’t exist contagion between the other countries.
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"The theory of sovereign default and China under the Nanking Nationalist Government, 1928-1937." 2011. http://library.cuhk.edu.hk/record=b5894857.
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Peng, Handa.<br>"August 2011."<br>Thesis (M.Phil.)--Chinese University of Hong Kong, 2011.<br>Includes bibliographical references (p. 81-83).<br>Abstracts in English and Chinese.<br>Abstract --- p.1<br>摘要 --- p.2<br>Acknowledgements --- p.3<br>Introduction --- p.6<br>Chapter Section I --- Literature Review --- p.11<br>Theories on Sovereign Default --- p.11<br>Historical Case Studies on Sovereign Default --- p.15<br>Brief Summary on the Existing Theories and Empirical Cases --- p.16<br>Chapter Section II --- Historical Backgrounds --- p.21<br>Political Instability and Military Expenditures --- p.21<br>Fiscal Status during the rule of the Nanking Government --- p.22<br>Silver Standard and Currency Reform in 1935 --- p.26<br>Chapter Section III --- Sovereign Default and Restructuring Episodes of the Nanking Government --- p.29<br>Data --- p.29<br>Sovereign Debt as a Heritage --- p.30<br>Background Information of the Debts --- p.34<br>The Restructuring Episode --- p.37<br>Market Reactions --- p.42<br>Chapter Section IV --- Capital Market Access and Reputational Theories in the Restructuring Episode --- p.45<br>Access to the International Capital Market --- p.45<br>Relevance of the Traditional Reputational Model --- p.48<br>Signaling Model and Role of Reputation --- p.51<br>Chapter Section V --- Role of Sanctions in the Restructuring Episode --- p.57<br>Analytical Framework of the Sanctions Model --- p.57<br>Three Possible Channels of Direct Sanctions --- p.60<br>Chapter Section VI --- Informational Explanation of the Restructuring Episode --- p.64<br>A Practical Analytical Framework for the Informational Model --- p.64<br>Issue of Credibility and Currency Reform --- p.66<br>The Need for the Settlement of Old Debts --- p.68<br>Outcomes --- p.73<br>Summary --- p.77<br>Conclusion --- p.79<br>References --- p.81<br>Chapter Appendix I --- Basic information on Chinese sovereign bonds traded in the London Stock Exchange --- p.84<br>Chapter Appendix II --- Price of Chinese Sovereign Bonds traded in the London Stock Exchange --- p.86<br>Chapter Appendix III --- Price level change around the settlement of two Tienstin-Pukow loans --- p.93<br>Chapter Appendix IV --- "Price levels and yield to maturities of the Chinese sovereign bonds on November 1，1935 and June 25, 1937" --- p.94<br>Chapter Table I --- Classification of Literatures on Cost of Sovereign Defaults --- p.17<br>Chapter Graph I --- Fiscal Status of China in the Nanking Decade --- p.22<br>Chapter Graph II --- Breakdown of Revenue --- p.23<br>Chapter Graph III --- Breakdown of Expenditures --- p.24<br>Chapter Graph IV --- Financing Methods of Government Deficit --- p.25<br>Chapter Graph V --- Time Distribution of Borrowing and Defaulting of Old Debts --- p.32<br>Chapter Table II --- Purpose of the Old Debts --- p.35<br>Chapter Table III --- Lending Countries of the Old Debts --- p.35<br>Chapter Table IV --- Collateral of the Old Debts --- p.36<br>Chapter Table V --- Currency Denomination of the Old Debs --- p.37<br>Chapter Graph VI --- Restructuring Time Distributions --- p.39<br>Chapter Graph VII --- Time distribution of new debts obtained during the Nanjing government --- p.46<br>Chapter Graph VIII --- Exports and Imports of China in 1921-1937 --- p.61<br>Chapter Graph IX --- "Wholesale Price Index in Shanghai, 1929-1937" --- p.74<br>Chapter Graph X --- Monthly Exchange Rate of Chinese Currency to U.S. Dollar (Indirect Quotation) --- p.74<br>Chapter Graph XI --- "Net Domestic Capital Formation in China, 1931-1936" --- p.76<br>Chapter Graph XII --- "Industrial Product and Its Growth Rate in China, 1928-1936" --- p.76
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Hsieh, Lin Fang Yu, and 謝林芳羽. "Are Government Bond Yields A Good Indicator to Predict the Sovereign Debt Defaults? An Empirical Analysis for OECD and Selected Emerging Economies." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/55535182350394723107.
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