Sovereign and private default risks over the business cycle
Sovereign and private default risks over the business cycle
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2016
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Working Paper Series / Department of Economics; 2016-09
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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.
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330 Wirtschaft
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Sovereign default; Corporate borrowing; Risk premia
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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} }
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