We begins with a summary of the current debate on sovereign debt restructuring, including the idea of inserting collective action clauses (CACs) into sovereign bond contracts and the IMF’s proposal for a Sovereign Debt Restructuring Mechanism (SDRM). We compare these two proposals in a context where problems of creditor coordination interact with those of debtor incentives – “debtor moral hazar...

Recently the world economy was confronted to the worst financial crisis since the great depression. This unprecedented crisis started in mid-2007 had a huge impact on the European government bond market. But, what are the main drivers of this “perfect storm” that since 2009 affects EU government bond market as well? To answer this question, we propose an empirical study of the determinants of t...

This paper is interested in linking formally external disequilibriums to the sovereign debt crisis the EMU is experiencing since 2009. Relying on the CHEER approach that connects the goods market to the capital market, we show that when a country belonging to a monetary union faces external disequilibrium relative to its main partner, the corresponding interest rate differential increases. More...

This master thesis, builds on the contributions by Ejsing et al. (2012) and Dubecq et al. (2013) to shed light on the credit and liquidity risk components of sovereign bond yields. Four countries have been studied: France, the Netherlands, Germany and Spain. The task has been faced by considering several state-space models, all of them connected by the idea that the differences in the yields be...

Throughout history the world has been faced by high debts, with the recent global financial crisis intensifying the issue of increasing indebtedness (with respect to both public and external debts), especially in the light of sovereign debt crisis that some countries have been subject to recently. This paper explores the debt levels in Central, East and Southeast Europe and investigates their r...

For several years prior to 2010, countries in the euro area periphery engaged in heavy borrowing from foreign private investors, allowing domestic spending to outpace incomes. Now these countries face debt crises refl ecting a loss of investor confi dence in the sustainability of their fi nances. The result has been an abrupt halt in private foreign lending to these economies. This study explai...

Recent macro developments in the euro area have highlighted the interactions between fiscal policy, sovereign debt, and financial fragility. We take a structural macroeconomic model with frictions in the financial intermediation process, in line with recent research, but introduce asset choice and sovereign debt holdings in the portfolio of banks. Using this model, we emphasize a new crowding-o...

I establish a theoretical framework to address three distinct, but interrelated puzzles in international economics: (1) the occurrence of twin crises, (2) the existence of large amounts of sovereign debt, and (3) the presence of substantial amounts of international reserves. By considering the interaction between growth and banking in a small open economy that is unable to commit to repaying it...