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Author:Yurdagul, Emircan 

Working Paper
Improving Sovereign Debt Restructurings

The wave of sovereign defaults in the early 1980s and the string of debt crises in subsequent decades have fostered proposals involving policy interventions in sovereign debt restructurings. The global financial crisis and the recent global pandemic have further reignited this discussion among academics and policymakers. A key question about these policy proposals for debt restructurings that has proved hard to handle is how they influence the behavior of creditors and debtors. We address this challenge by evaluating policy proposals in a quantitative sovereign default model that ...
Working Paper , Paper 22-06

Working Paper
Sovereign Debt Restructurings

Sovereign debt crises involve debt restructurings characterized by a mix of face-value haircuts and maturity extensions. The prevalence of maturity extensions has been hard to reconcile with economic theory. We develop a model of endogenous debt restructuring that captures key facts of sovereign debt and restructuring episodes. While debt dilution pushes for negative maturity extensions, three factors are important in overcoming the effects of dilution and generating maturity extensions upon restructurings: income recovery after default, credit exclusion after restructuring, and regulatory ...
Working Papers , Paper 2018-13

Working Paper
Improving Sovereign Debt Restructurings

The wave of sovereign defaults in the early 1980s and the string of debt crises in subsequent decades have fostered proposals involving policy interventions in sovereign debt restructurings. The global financial crisis and the recent global pandemic have further reignited this discussion among academics and policymakers. A key question about these policy proposals for debt restructurings that has proved hard to handle is how they influence the behavior of creditors and debtors. We address this challenge by evaluating policyproposals in a quantitative sovereign default model that incorporates ...
Working Papers , Paper 2019-36

Working Paper
Improving Sovereign Debt Restructurings

The wave of sovereign defaults in the early 1980s and the string of debt crises in subsequent decades have fostered proposals involving policy interventions in sovereign debt restructurings, and the recent global pandemic crisis has further reignited this discussion. A key question about these policy proposals for debt restructurings that has proved hard to handle is how they influence the behavior of creditors and debtors. We address this challenge by evaluating policy proposals in a quantitative sovereign default model that incorporates two essential features: maturity choice and debt ...
Working Papers , Paper 2019-36

Working Paper
News, sovereign debt maturity, and default risk

Leading into a debt crisis, interest rate spreads on sovereign debt rise before the economy experiences a decline in productivity, suggesting that news about future economic developments may play an important role in these episodes. In a VAR estimation, a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor productivity. A quantitative model of news and sovereign debt default with endogenous maturity choice generates impulse responses and a variance decomposition similar to the empirical VAR estimates. The dynamics of the economy after a ...
Working Papers , Paper 2018-033

Working Paper
Sovereign Default and the Choice of Maturity

This study develops a novel model of endogenous sovereign debt maturity choice that rationalizes various stylized facts about debt maturity and the yield spread curve: first, sovereign debt duration and maturity generally exceed one year, and co-move positively with the business cycle. Second, sovereign yield spread curves are usually non-linear and upward-sloped, and may become non-monotonic and inverted during a period of high credit market stress, such as a default episode. Finally, output volatility, sudden stops, impatience and risk aversion are key determinants of maturity, both in our ...
Working Papers , Paper 2014-31

Journal Article
Why are corporations holding so much cash?

U.S. corporations are holding record-high amounts of cash. One reason has to do with taxes?both the uncertainty about future taxes and the reality of today?s tax rules. The second reason has to do with the rise of research and development; because of its uncertain nature, this sort of work requires access to high levels of cash.
The Regional Economist , Issue Jan

Journal Article
Can repatriation taxes explain the recent increase in cash holdings?

Repatriation taxes are unlikely to explain the rise in cash holdings of U.S. firms.
Economic Synopses

Working Paper
News, sovereign debt maturity, and default risk

Leading into a debt crisis, interest rate spreads on sovereign debt rise before the economy experiences a decline in productivity, suggesting that news about future economic developments may play an important role in these episodes. In a VAR estimation, a news shock has a larger contemporaneous impact on sovereign credit spreads than a comparable shock to labor productivity. A quantitative model of news and sovereign debt default with endogenous maturity choice generates impulse responses and a variance decomposition similar to the empirical VAR estimates. The dynamics of the economy after a ...
Working Papers , Paper 2018-33

Journal Article
Why are U.S. firms holding so much cash? an exploration of cross-sectional variation

Currently U.S. firms hold record amounts of cash. The authors explore cross-sectional variation in cash holdings of U.S. publicly traded firms to shed light on the reasons for this recent trend. First, they identify factors that correlate with cash holdings and then examine the evolution of these factors over the past decade. Several factors, including research and development expenditures and idiosyncratic uncertainty, are important in accounting for cross-sectional differences in cash holdings. However, these factors do not increase over time as cash holdings do; thus, it seems unlikely ...
Review , Volume 95 , Issue July , Pages 293-325

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