Publikation: Sovereign and private default risks over the business cycle
Lade...
Dateien
Datum
2016
Autor:innen
Herausgeber:innen
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
URI (zitierfähiger Link)
Internationale Patentnummer
Link zur Lizenz
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Open Access Green
Core Facility der Universität Konstanz
Titel in einer weiteren Sprache
Publikationstyp
Working Paper/Technical Report
Publikationsstatus
Published
Erschienen in
Zusammenfassung
Sovereign debt crises are often accompanied by deep recessions with sharp declines in external credit to the private sector. In a sample of emerging economies we find that both, sovereign and private risk premia are countercyclical. This paper presents a model of a small open economy that accounts for these empirical regularities. It includes private firms which finance a fraction of imports by external debt and are subject to idiosyncratic and aggregate productivity risk, and a government which borrows internationally and taxes firms to finance public expenditures. The model gives rise to endogenous private and sovereign credit spreads and a dynamic feedback mechanism between sovereign and private default risks through the endogenous response of fiscal policy to adverse productivity shocks.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Sovereign default; Corporate borrowing; Risk premia
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690
KAAS, Leo, Jan MELLERT, Almuth SCHOLL, 2016. Sovereign and private default risks over the business cycleBibTex
@techreport{Kaas2016Sover-37146,
year={2016},
series={Working Paper Series / Department of Economics},
title={Sovereign and private default risks over the business cycle},
number={2016-09},
author={Kaas, Leo and Mellert, Jan and Scholl, Almuth}
}RDF
<rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#" >
<rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/37146">
<dc:contributor>Kaas, Leo</dc:contributor>
<dcterms:title>Sovereign and private default risks over the business cycle</dcterms:title>
<dc:contributor>Scholl, Almuth</dc:contributor>
<dc:contributor>Mellert, Jan</dc:contributor>
<dcterms:issued>2016</dcterms:issued>
<bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/37146"/>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-02-06T07:45:11Z</dcterms:available>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dc:creator>Kaas, Leo</dc:creator>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/52"/>
<dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/37146/3/Kaas_0-390334.pdf"/>
<dc:creator>Scholl, Almuth</dc:creator>
<dc:language>eng</dc:language>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/52"/>
<dc:creator>Mellert, Jan</dc:creator>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-02-06T07:45:11Z</dc:date>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
<dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/37146/3/Kaas_0-390334.pdf"/>
<dcterms:abstract xml:lang="eng">Sovereign debt crises are often accompanied by deep recessions with sharp declines in external credit to the private sector. In a sample of emerging economies we find that both, sovereign and private risk premia are countercyclical. This paper presents a model of a small open economy that accounts for these empirical regularities. It includes private firms which finance a fraction of imports by external debt and are subject to idiosyncratic and aggregate productivity risk, and a government which borrows internationally and taxes firms to finance public expenditures. The model gives rise to endogenous private and sovereign credit spreads and a dynamic feedback mechanism between sovereign and private default risks through the endogenous response of fiscal policy to adverse productivity shocks.</dcterms:abstract>
<dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/46"/>
<dc:rights>terms-of-use</dc:rights>
</rdf:Description>
</rdf:RDF>Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
