Sovereign and private default risks over the business cycle

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2016
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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
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Sovereign default; Corporate borrowing; Risk premia
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ISO 690KAAS, Leo, Jan MELLERT, Almuth SCHOLL, 2016. Sovereign and private default risks over the business cycle
BibTex
@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}
}
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