Download or read book Self fulfilling Debt Crises written by Timothy J. Kehoe and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Self fulfilling Debt Crises with Long Stagnations written by Joao Ayres and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Self fulfilling Debt Crises Revisited written by Mark Aguiar and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Self fulfilling Debt Crises written by Harold Linh Cole and published by . This book was released on 1996 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Can Debt Crises Be Self Fulfilling written by Marcos Chamon and published by International Monetary Fund. This book was released on 2004-06 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several papers argue that debt crises can be the result of self-fulfilling expectations that no one will lend to a country. I show this type of coordination failure can be eliminated by a combination of state-contingent securities and a mechanism that allows investors to promise to lend only if enough other investors do so as well. This suggests that runs on the debt of a single borrower (such as the government) can be eliminated, and that self-fulfilling features are more plausible when articulated in a context in which externalities among many decentralized borrowers allow for economy-wide debt runs to occur.
Download or read book Self fulfilling and Self enforcing Debt Crises written by Daniel Cohen and published by . This book was released on 2008 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Self fulfilling Debt Crisis written by Harold L. Cole and published by . This book was released on 1998 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Self Fulfilling Debt Crises written by Timothy J. Kehoe and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We characterize the values of government debt and the debt's maturity structure under which financial crises brought on by a loss of confidence in the government can arise within a dynamic, stochastic general equilibrium model. We also characterize the optimal policy response of the government to the threat of such a crisis. We show that when the country's fundamentals place it inside the crisis zone, the government may be motivated to reduce its debt and exit the crisis zone because this leads to an economic boom and a reduction in the interest rate on the government's debt. We show that this reduction can be gradual if debt is high or the probability of a crisisis low. We also show that, while lengthening the maturity of the debt can shrink the crisis zone, credibility-inducing policies can have perverse effects.
Download or read book Self Fulfilling Debt Crises written by Luigi Bocola and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper uses the information contained in the joint dynamics of government's debt maturity choices and interest rate spreads to quantify the importance of self-fulfilling expectations in sovereign bond markets. We consider a model of sovereign borrowing featuring endogenous debt maturity, risk averse lenders and self-fulfilling rollover crises âa la Cole and Kehoe (2000). In this environment, interest rate spreads are driven by economic fundamentals and by expectations of future self-fulfilling defaults. These two sources of default risk have contrasting implications for the debt maturity choices of the government. Therefore, they can be indirectly inferred by tracking the evolution of the maturity structure of debt during a crisis. We fit the model to the Italian debt crisis of 2008-2012, finding that 12% of the spreads over this episode were due to rollover risk. Our results have implications for the effects of the liquidity provisions established by the European Central Bank during the summer of 2012
Download or read book Self fulfilling Debt Crises Fiscal Policy and Investment written by Carlo Galli and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Self Fulfilling Debt Crises written by Luigi Bocola and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper uses the information contained in the joint dynamics of government's debt maturity choices and interest rate spreads to quantify the importance of self-fulfilling expectations in sovereign bond markets. We consider a model of sovereign borrowing featuring endogenous debt maturity, risk averse lenders and self-fulfilling rollover crises âa la Cole and Kehoe (2000). In this environment, interest rate spreads are driven by economic fundamentals and by expectations of future self-fulfilling defaults. These two sources of default risk have contrasting implications for the debt maturity choices of the government. Therefore, they can be indirectly inferred by tracking the evolution of the maturity structure of debt during a crisis. We fit the model to the Italian debt crisis of 2008-2012, finding that 12% of the spreads over this episode were due to rollover risk. Our results have implications for the effects of the liquidity provisions established by the European Central Bank during the summer of 2012
Download or read book Self Fulfilling Debt Crises Revisited written by Mark Aguiar and published by . This book was released on 2017 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We revisit self-fulfilling rollover crises by introducing an alternative equilibrium selection that involves bond auctions at depressed but strictly positive equilibrium prices, a scenario in line with observed sovereign debt crises. We refer to these auctions as "desperate deals," the defining feature of which is a price schedule that makes the government indifferent to default or repayment. The government randomizes at the time of repayment, which we show can be implemented in pure strategies by introducing stochastic political payoffs or external bailouts. Quantitatively, auctions at fire-sale prices are crucial for generating realistic spread volatility.
Download or read book Gambling for Redemption and Self fulfilling Debt Crises written by Juan Carlos Conesa and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Dynamics of Sovereign Debt Crises and Bailouts written by Mr.Francisco Roch and published by International Monetary Fund. This book was released on 2016-09-06 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the recent European debt crisis, this paper investigates the scope for a bailout guarantee in a sovereign debt crisis. Defaults may arise from negative income shocks, government impatience or a "sunspot"-coordinated buyers strike. We introduce a bailout agency, and characterize the minimal actuarially fair intervention that guarantees the no-buyers-strike fundamental equilibrium, relying on the market for residual financing. The intervention makes it cheaper for governments to borrow, inducing them borrow more, leaving default probabilities possibly rather unchanged. The maximal backstop will be pulled precisely when fundamentals worsen.
Download or read book Self fulfilling Debt Crises in Theory and Practice written by Daniel Cohen and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes econometrically how a country's post-crisis debt ratio could be forecast, in the aftermath of a debt crisis, from the previous debt-to-GDP ratio. A critical parameter is simply the debt-to-PPP-GDP ratio, where PPP-GDP is, in current international dollars, the Summers-Heston value. In this formulation, this paper shows that the Latin American paradox disappears. This then leads to a simple conclusion: debt crises are more frequent in Latin American countries because they have more damaging consequences on the market value of GDP. This itself appears to be closely related to the fact that pre-crisis Latin American exchange rates are also overvalued (for a similar emphasis, see Calvo et al., 2003). As a simple consequence of this model, the paper suggests computing the debt-to-PPP-GDP ratio as a new standard for analyzing debt sustainability.
Download or read book Self fulfilling Public Debt Crises written by Daniel Gros and published by . This book was released on 1996 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Self fulfilling Sovereign Debt Crises and Emerging Market Business Cycles written by Minsuk Kim and published by . This book was released on 2007 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: Business cycles in emerging market economies are systematically associated with countercyclical changes in their country spreads: namely, in bad times, countries borrow less at higher spread and default more frequently. To examine this prominent aspect of emerging countries, this dissertation studies a small open economy model of sovereign default in a dynamic stochastic general equilibrium environment. In this model, defaults arise not only from bad output shocks, but also from coordination failures among international lenders. When a country's debt lies within a certain output-contigent interval, a loss of confidence in the country's repayment ability leads to a debt roll-over failure, triggering a self-fulfilling default. The default probability explicitly depends on the strategic incentives and the beliefs of market participants. In a quantitative analysis of Argentina, the model matches several features of the economy: First, the model successfully generates the high volatility of consumption relative to output as well as the high volatility of net exports in emerging economy data. Second, defaults occur not only in bad times, but also in good times. This implies a much weaker relationship between outputs and default events than that predicted by previous studies and is perfectly consistent with recent historical findings (Tomz and Wright (2006)). The later part of this dissertation quantitatively examines the effectiveness of long-term bonds in preventing the liquidity crises.
