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Quantitative Sovereign Default Models and the European Debt Crisis

In: NBER International Seminar on Macroeconomics 2018

Citations

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  2. Marina Azzimonti & Nirvana Mitra, 2026. "Clientelism, Institutions and Sovereign Default," Working Paper 26-06, Federal Reserve Bank of Richmond.
  3. Florent Kanga GBONGUE & Lambert N’Galadjo BAMBA, 2023. "Le modèle hybride de la structure par terme des primes souveraines de crédit et de liquidité dans la zone UEMOA," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 57, pages 101-145.
  4. Kobielarz, M.L., 2023. "Bailout dynamics in a monetary union," Journal of International Economics, Elsevier, vol. 142(C).
  5. Michinao Okachi, 2019. "Sovereign Default Triggered by Inability to Repay Debt," IMES Discussion Paper Series 19-E-10, Institute for Monetary and Economic Studies, Bank of Japan.
  6. Nigmonov, Asror & Shams, Syed & Alam, Khorshed, 2022. "Macroeconomic determinants of loan defaults: Evidence from the U.S. peer-to-peer lending market," Research in International Business and Finance, Elsevier, vol. 59(C).
  7. Ding, Qian & Huang, Jianbai & Zhang, Hongwei, 2021. "The time-varying effects of financial and geopolitical uncertainties on commodity market dynamics: A TVP-SVAR-SV analysis," Resources Policy, Elsevier, vol. 72(C).
  8. Poshakwale, Sunil & Aghanya, Daniel & Agarwal, Vineet, 2020. "The impact of regulations on compliance costs, risk-taking, and reporting quality of the EU banks," International Review of Financial Analysis, Elsevier, vol. 68(C).
  9. Kaldorf, Matthias & Röttger, Joost, 2025. "Convenient but risky government bonds," European Economic Review, Elsevier, vol. 180(C).
  10. Daniel, Betty C. & Nam, Jinwook, 2022. "The Greek debt crisis: Excusable vs. strategic default," Journal of International Economics, Elsevier, vol. 138(C).
  11. Charles Serfaty, 2024. "Sovereign Default and International Trade," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(4), pages 1449-1501, December.
  12. Prein, Timm, 2019. "Persistent Unemployment, Sovereign Debt Crises, and the Impact of Haircuts," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203654, Verein für Socialpolitik / German Economic Association, revised 2019.
  13. Debrun, Xavier & Masuch, Klaus & Ferrero, Guiseppe & Vansteenkiste, Isabel & Ferdinandusse, Marien & von Thadden, Leopold & Hauptmeier, Sebastian & Alloza, Mario & Derouen, Chloé & Bańkowski, Krzyszto, 2021. "Monetary-fiscal policy interactions in the euro area," Occasional Paper Series 273, European Central Bank.
  14. Moreno Badia, Marialuz & Medas, Paulo & Gupta, Pranav & Xiang, Yuan, 2022. "Debt is not free," Journal of International Money and Finance, Elsevier, vol. 127(C).
  15. Radoslaw Paluszynski & Georgios Stefanidis, 2023. "Borrowing into debt crises," Quantitative Economics, Econometric Society, vol. 14(1), pages 277-308, January.
  16. Cuadros-Solas, Pedro Jesús & Salvador Muñoz, Carlos, 2022. "Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC," Research in International Business and Finance, Elsevier, vol. 59(C).
  17. Nigmonov, Asror & Shams, Syed & Urbonas, Povilas, 2024. "Estimating probability of default via delinquencies? Evidence from European P2P lending market," Global Finance Journal, Elsevier, vol. 63(C).
  18. Bernardo Guimaraes & Lucas Tumkus, 2020. "On the costs of sovereign default in quantitative models," Discussion Papers 2021, Centre for Macroeconomics (CFM).
  19. Giancarlo Corsetti, 2023. "Debt crises, fast and slow Giancarlo," RSCAS Working Papers 2023/15, European University Institute.
  20. Aneta Hryckiewicz & Petra Pawlowski & Piotr Michal Mazur & Marcin Borsukb, 2022. "Sovereign Debt Holding and Bank Sensitivity toward Market Risk: An Alternative View of the Bank–Sovereign Problem," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-52, December.
  21. Kaldorf, Matthias & Röttger, Joost, 2023. "Convenient but risky government bonds," Discussion Papers 15/2023, Deutsche Bundesbank.
  22. Thomas J. Sargent & John Stachurski, 2024. "Dynamic Programming: Finite States," Papers 2401.10473, arXiv.org.
  23. Liu, Yan & Marimon, Ramon & Wicht, Adrien, 2023. "Making sovereign debt safe with a financial stability fund," Journal of International Economics, Elsevier, vol. 145(C).
  24. Giovanni Callegari & Ramon Marimon & Adrien Wicht & Luca Zavalloni, 2023. "On a Lender of Last Resort with a Central Bank and a Stability Fund," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 50, pages 106-130, October.
  25. Vera Ivanyuk, 2023. "Development of an Econometric Model of Crisis and Assessment of the Crisis Risk," Mathematics, MDPI, vol. 11(22), pages 1-29, November.
  26. Joao Ayres & Gaston Navarro & Juan Pablo Nicolini & Pedro Teles, 2019. "Self-Fulfilling Debt Crises with Long Stagnations," Working Papers 757, Federal Reserve Bank of Minneapolis.
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