Search Results

Showing results 1 to 3 of approximately 3.

(refine search)
SORT BY: PREVIOUS / NEXT
Keywords:Sovereign debt crises 

Working Paper
Monetary Independence and Rollover Crises

This paper shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nominal rigidities. When the government lacks monetary autonomy, lenders anticipate that the government will face a severe recession in the event of a liquidity crisis, and are therefore more prone to run on government bonds. By contrast, a government with monetary autonomy can stabilize the economy and can easily remain immune to a rollover ...
Working Papers , Paper 755

Report
Sovereign risk and firm heterogeneity

This paper studies the recessionary effects of sovereign default risk using firm-level data and a model of sovereign debt with firm heterogeneity. Our environment features a two-way feedback loop. Low output decreases the tax revenues of the government and raises the risk that it will default on its debt. The associated increase in sovereign interest rate spreads, in turn, raises the interest rates paid by firms, which further depresses their production. Importantly, these effects are not homogeneous across firms, as interest rate hikes have more severe consequences for firms that are in need ...
Staff Report , Paper 547

Working Paper
The Pass-Through of Sovereign Risk

This paper examines the macroeconomic implications of sovereign credit risk in a business cycle model where banks are exposed to domestic government debt. The news of a future sovereign default hampers financial intermediation. First, it tightens the funding constraints of banks, reducing their available resources to finance firms (liquidity channel). Second, it generates a precautionary motive for banks to deleverage (risk channel). I estimate the model using Italian data, finding that i) sovereign credit risk was recessionary and that ii) the risk channel was sizable. I then use the model ...
Working Papers , Paper 722

FILTER BY year

FILTER BY Series

FILTER BY Content Type

Working Paper 2 items

Report 1 items

FILTER BY Author

FILTER BY Jel Classification

E44 2 items

F34 2 items

G15 2 items

E32 1 items

E4 1 items

E5 1 items

show more (4)

FILTER BY Keywords

PREVIOUS / NEXT