Sovereign and private default risks over the business cycle

Cite This

Files in this item

Files Size Format View

There are no files associated with this item.

KAAS, Leo, Jan MELLERT, Almuth SCHOLL, 2020. Sovereign and private default risks over the business cycle. In: Journal of International Economics. Elsevier. 123, 103293. ISSN 1932-8796. eISSN 1873-0353. Available under: doi: 10.1016/j.jinteco.2020.103293

@article{Kaas2020-03Sover-50208, title={Sovereign and private default risks over the business cycle}, year={2020}, doi={10.1016/j.jinteco.2020.103293}, volume={123}, issn={1932-8796}, journal={Journal of International Economics}, author={Kaas, Leo and Mellert, Jan and Scholl, Almuth}, note={Article Number: 103293} }

<rdf:RDF xmlns:dcterms="" xmlns:dc="" xmlns:rdf="" xmlns:bibo="" xmlns:dspace="" xmlns:foaf="" xmlns:void="" xmlns:xsd="" > <rdf:Description rdf:about=""> <dspace:isPartOfCollection rdf:resource=""/> <dc:contributor>Mellert, Jan</dc:contributor> <dcterms:isPartOf rdf:resource=""/> <dcterms:issued>2020-03</dcterms:issued> <dc:language>eng</dc:language> <dc:creator>Mellert, Jan</dc:creator> <dcterms:isPartOf rdf:resource=""/> <dc:contributor>Kaas, Leo</dc:contributor> <bibo:uri rdf:resource=""/> <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 interest rate spreads 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 productivity risk, and a government, which borrows internationally and taxes firms to finance public expenditures. The model gives rise to endogenous private and sovereign interest rate 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:title>Sovereign and private default risks over the business cycle</dcterms:title> <dcterms:available rdf:datatype="">2020-07-10T12:55:48Z</dcterms:available> <dc:creator>Scholl, Almuth</dc:creator> <dc:creator>Kaas, Leo</dc:creator> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dc:contributor>Scholl, Almuth</dc:contributor> <dc:date rdf:datatype="">2020-07-10T12:55:48Z</dc:date> <dspace:isPartOfCollection rdf:resource=""/> </rdf:Description> </rdf:RDF>

This item appears in the following Collection(s)

Search KOPS


My Account