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Debt Crises: For Whom the Bell Tolls

Listed author(s):
  • Guillermo Ordonez

    (University of Pennsylvania)

  • Daniel Neuhann

    (University of Pennsylvania)

  • Harold Cole

    (University of Pennsylvania)

What a country has done in the past, and what other countries are doing in the present can feedback for good or for ill. We develop a model which can address hysteresis and contagion in sovereign debt markets. When a country's fundamentals change, those changes affect information acquisition about that country but also affect the allocation of investors worldwide, inducing changes in risk spreads in seemingly unrelated countries.

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File URL: https://www.economicdynamics.org/meetpapers/2014/paper_1245.pdf
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Paper provided by Society for Economic Dynamics in its series 2014 Meeting Papers with number 1245.

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Date of creation: 2014
Handle: RePEc:red:sed014:1245
Contact details of provider: Postal:
Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA

Web page: http://www.EconomicDynamics.org/
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  17. Goldstein, Itay & Pauzner, Ady, 2004. "Contagion of self-fulfilling financial crises due to diversification of investment portfolios," Journal of Economic Theory, Elsevier, vol. 119(1), pages 151-183, November.
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