Equilibrium Sovereign Default with Endogenous Exchange Rate Depreciation
نویسندگان
چکیده
منابع مشابه
Equilibrium Sovereign Default with Endogenous Exchange Rate Depreciation
Sovereign default often affects country’s trade relations. The defaulter’s currency depreciates while trade volume falls drastically. To explain this connection, this study proposes a model to incorporate real depreciation along with sovereign bankruptcy. Defaulters must exchange more of their own goods for imports, which stimulates an adjustment to the equilibrium exchange rate. We demonstrate...
متن کاملSovereign Credit Risk with Endogenous Default
This paper provides a model of sovereign default risk pricing, in which a sovereign country endogenously determines the timing of default on its external debt. The theoretical relationships between credit risk and the macro-variables considered in the model are consistent with the empirical literature. The model also helps to explain the variation across time in Emerging Market Bond Index (EMBI...
متن کاملGeneral Equilibrium with Endogenous Uncertainty and Default
In this paper we study the introduction of new assets which are oftenly observed to be de ned in expected values rather than state by state, called the Arrow-Lind-Malinvaud (ALM) assets. We demonstrate that individual default emerges naturally in an economy where such ALM assets are introduced without completing all contingency markets. We further provide conditions under which individual defau...
متن کاملSovereign Default, Exchange Rates, and International Asset Prices
This article develops a framework that combines the economics behind the structural modeling of sovereign credit risk, corporate capital structure, and the equilibrium modeling of international asset pricing. The default decisions of the sovereign and the firm are derived optimally and embedded in a two-country, two-good consumption-based asset-pricing model with a representative risk-averse ag...
متن کاملPredicting Sovereign Default
With the financial crises ongoing in Greece and Venezuela, sovereign debt crises have become more and more prominent in the public eye. Thus, it has become important to be able to predict when nations will enter such debt crises. We collected publicly available data in order to train models to predict, given a nation’s economic status in one year, whether they would be in a debt crisis the next...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1468750