Sovereign and private default risks over the business cycle

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KAAS, Leo, Jan MELLERT, Almuth SCHOLL, 2016. Sovereign and private default risks over the business cycle

@techreport{Kaas2016Sover-37146, series={Working Paper Series / Department of Economics}, title={Sovereign and private default risks over the business cycle}, year={2016}, number={2016-09}, author={Kaas, Leo and Mellert, Jan and Scholl, Almuth} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/37146"> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-02-06T07:45:11Z</dcterms:available> <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/37146"/> <dc:creator>Kaas, Leo</dc:creator> <dc:language>eng</dc:language> <dcterms:issued>2016</dcterms:issued> <dcterms:rights rdf:resource="http://nbn-resolving.de/urn:nbn:de:bsz:352-20150914100631302-4485392-8"/> <dc:contributor>Mellert, Jan</dc:contributor> <dcterms:title>Sovereign and private default risks over the business cycle</dcterms:title> <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> <dc:contributor>Kaas, Leo</dc:contributor> <dc:contributor>Scholl, Almuth</dc:contributor> <dc:creator>Scholl, Almuth</dc:creator> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-02-06T07:45:11Z</dc:date> <dc:creator>Mellert, Jan</dc:creator> </rdf:Description> </rdf:RDF>

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