Search Results

(refine search)

SORT BY: PREVIOUS / NEXT

All:
Title:
Author:
Abstract:
Keywords:

+ Add Search Parameter

Working Paper
Fiscal Stimulus under Sovereign Risk
Presno, Ignacio; Ottonello, Pablo; Bianchi, Javier (2019-09-12)
The excess procyclicality of fiscal policy is commonly viewed as a central malaise in emerging economies. We document that procyclicality is more pervasive in countries with higher sovereign risk and provide a model of optimal fiscal policy with nominal rigidities and endogenous sovereign default that can account for this empirical pattern. Financing a fiscal stimulus is costly for risky countries and can render countercyclical policies undesirable, even in the presence of large Keynesian stabilization gains. We also show that imposing austerity can backfire by exacerbating the exposure to ...
Working Papers , Paper 762

Working Paper
International Reserves and Rollover Risk
Bianchi, Javier; Martinez, Leonardo; Hatchondo, Juan Carlos (2016-11-03)
We study the optimal accumulation of international reserves in a quantitative model of sovereign default with long-term debt and a risk-free asset. Keeping higher levels of reserves provides a hedge against rollover risk, but this is costly because using reserves to pay down debt allows the government to reduce sovereign spreads. Our model, parameterized to mimic salient features of a typical emerging economy, can account for a significant fraction of the holdings of international reserves, and the larger accumulation of both debt and reserves in periods of low spreads and high income. We ...
Working Papers , Paper 735

Working Paper
Tax Revolts and Sovereign Defaults
Arce, Fernando; Werquin, Nicolas; Morgan, Jan (2024-02)
Protests and fiscal crises often coincide, with complex causal dynamics at play. We examine the interaction between tax revolts and sovereign risk using a quantitative structural model calibrated to Argentina during the Macri administration (2015-2019). In the model, the government can be controlled by political parties with different preferences for redistribution. Households may opt to revolt in response to the fiscal policies of the ruler. While revolts entail economic costs, they also increase the likelihood of political turnover. Our model mirrors the data by generating political crises ...
Working Paper Series , Paper WP 2024-07

Report
Self-Fulfilling Debt Crises with Long Stagnations
Ayres, Joao; Teles, Pedro; Navarro, Gaston; Nicolini, Juan Pablo (2024-06-18)
We assess the quantitative relevance of expectations-driven sovereign debt crises, focusing on the southern European crisis of the early 2010s and the Argentine default of 2001. The source of multiplicity is the one in Calvo (1988). Crucial for multiplicity is an output process characterized by long periods of either high growth or stagnation, which we estimate using data for these countries. We find that expectations-driven debt crises are quantitatively relevant but state dependent, as they occur only during periods of stagnation. Expectations, and how they respond to policy, are the major ...
Staff Report , Paper 659

Working Paper
Relationship Networks in Banking Around a Sovereign Default and Currency Crisis
Sangiacomo, Maximo; D'Erasmo, Pablo; Pia Olivero, Maria; Moscoso Boedo, Herman J. (2019-10-29)
We study how banks? exposure to a sovereign crisis gets transmitted onto the corporate sector. To do so we use data on the universe of banks and ?rms in Argentina during the crisis of 2001. We build a model characterized by matching frictions in which ?rms establish (long-term) relationships with banks that are subject to balance sheet disruptions. Credit relationships with banks more exposed to the crisis su?er the most. However, this relationship-level e?ect overstates the true cost of the crisis since profitable ?rms (e.g., exporters after a devaluation) might ?nd it optimal to switch ...
Working Papers , Paper 19-43

Working Paper
Duration of Capital Market Exclusion: An Empirical Investigation
Dias, Daniel A.; Richmond, Christine; Westfahl, Grant (2024-12-06)
This paper investigates the duration of market exclusion following a sovereign default and its resolution. We employ multiple definitions of market access, differentiating between gross versus net borrowing and partial versus full access, to measure the time it takes for countries to regain entry into international capital markets following a sovereign default and resolution. Our findings indicate that market re-access can occur immediately under less stringent definitions but may take several years when more demanding criteria are applied. Middle-income countries typically regain access more ...
Finance and Economics Discussion Series , Paper 2024-093

Working Paper
Selective Sovereign Defaults
Mallucci, Enrico; Erce, Aitor (2018-11)
Governments issue debt both domestically and abroad. This heterogeneity introduces the possibility for governments to operate selective defaults that discriminate across investors. Using a novel dataset on the legal jurisdiction of sovereign defaults that distinguishes between defaults under domestic law and default under foreign law, we show that selectiveness is the norm and that imports, credit, and output dynamics are different around different types of default. Domestic defaults are associated with contractions of credit and are more likely in countries with smaller credit markets. In ...
International Finance Discussion Papers , Paper 1239

Working Paper
Deconstructing Delays in Sovereign Debt Restructuring
Benjamin, David; Wright, Mark L. J. (2018-07-16)
Negotiations to restructure sovereign debt are time consuming, taking almost a decade on average to resolve. In this paper, we analyze a class of widely used complete information models of delays in sovereign debt restructuring and show that, despite superficial similarities, there are major differences across models in the driving force for equilibrium delay, the circumstances in which delay occurs, and the efficiency of the debt restructuring process. We focus on three key assumptions. First, if delay has a permanent effect on economic activity in the defaulting country, equilibrium delay ...
Working Papers , Paper 753

Working Paper
Avoiding Sovereign Default Contagion: A Normative Analysis
Mallucci, Enrico; De Ferra, Sergio (2020-02-27)
Should debtor countries support each other during sovereign debt crises? We answer this question through the lens of a two-country sovereign-default model that we calibrate to the euro-area periphery. First, we look at cross-country bailouts. We find that whenever agents anticipate their existence, bailouts induce moral hazard an reduce welfare. Second, we look at the borrowing choices of a global central borrower. We find that it borrows less than individual governments and, as such, defaults become less frequent and welfare increases. Finally, we show that central borrower's policies can be ...
International Finance Discussion Papers , Paper 1275

show more (32)

PREVIOUS / NEXT

Fed in Print

Search Results

FILTER BY year

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

FILTER BY Keywords