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Crisis dynamics of implied default recovery ratios: Evidence from Russia and Argentina

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  • Merrick Jr., John J.
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-43XFHT0-5/2/bc0a647e95f67f6b942f8513c899b1bc
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 25 (2001)
    Issue (Month): 10 (October)
    Pages: 1921-1939

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    Handle: RePEc:eee:jbfina:v:25:y:2001:i:10:p:1921-1939

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    Web page: http://www.elsevier.com/locate/jbf

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Wu, Chunchi, 1991. "A Certainty Equivalent Approach to Municipal Bond Default Risk Estimation," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 14(3), pages 241-47, Fall.
    2. Leland, Hayne E & Toft, Klaus Bjerre, 1996. " Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
    3. Claessens, Stijn & Pennacchi, George, 1996. "Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(01), pages 109-126, March.
    4. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    5. Fons, Jerome S, 1987. " The Default Premium and Corporate Bond Experience," Journal of Finance, American Finance Association, vol. 42(1), pages 81-97, March.
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    Cited by:
    1. Amadou N. R. Sy, 2003. "Rating the Rating Agencies: Anticipating Currency Crises or Debt Crises," IMF Working Papers 03/122, International Monetary Fund.
    2. Waldenström, Daniel & Frey, Bruno S., 2008. "Did nordic countries recognize the gathering storm of World War II? Evidence from the bond markets," Explorations in Economic History, Elsevier, vol. 45(2), pages 107-126, April.
    3. Kim Oosterlinck & Loredana Ureche-Rangau, 2008. "Multiple Potential Payers and Sovereign Bond Prices," Working Papers 75, Bank of Greece.
    4. Miśkiewicz, Janusz, 2013. "Power law classification scheme of time series correlations. On the example of G20 group," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2150-2162.
    5. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk under currency boards," Journal of Development Economics, Elsevier, vol. 69(2), pages 367-391, December.
    6. Manmohan Singh, 2003. "Are Credit Default Swaps Spreads High in Emerging Markets-An Alternative Methodology for Proxying Recovery Value," IMF Working Papers 03/242, International Monetary Fund.
    7. Oshiro, Naoto & Saruwatari, Yasufumi, 2005. "Quantification of sovereign risk: Using the information in equity market prices," Emerging Markets Review, Elsevier, vol. 6(4), pages 346-362, December.
    8. Liz Dixon-Smith & Roman Goossens & Simon Hayes, 2005. "Default probabilities and expected recovery: an analysis of emerging market sovereign bonds," Bank of England working papers 261, Bank of England.
    9. Sottile, Pedro, 2013. "On the political determinants of sovereign risk: Evidence from a Markov-switching vector autoregressive model for Argentina," Emerging Markets Review, Elsevier, vol. 15(C), pages 160-185.
    10. Berardi, Andrea & Ciraolo, Stefania & Trova, Michele, 2004. "Predicting default probabilities and implementing trading strategies for emerging markets bond portfolios," Emerging Markets Review, Elsevier, vol. 5(4), pages 447-469, December.
    11. Sturzenegger, Federico & Zettelmeyer, Jeromin, 2008. "Haircuts: Estimating investor losses in sovereign debt restructurings, 1998-2005," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 780-805, September.
    12. Ramiro Sosa Navarro, 2005. "Default Recovery Values and Implied Default Probabilities Estimations: Evidence from the Argentinean Crisis," Documents de recherche 05-21, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    13. Cruces, Juan J., 2006. "Statistical properties of country credit ratings," Emerging Markets Review, Elsevier, vol. 7(1), pages 27-51, March.
    14. Schmukler, Sergio L. & Serven, Luis, 2002. "Pricing currency risk : facts and puzzles from currency boards," Policy Research Working Paper Series 2815, The World Bank.

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