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  • Stabi Berlin  (7)
  • HU Berlin
  • Bibliothek Lübbenau - Vetschau
  • HEROLD
  • Kreismedienzentrum Teltow-Fläming
  • SB Perleberg
  • SB Eberswalde
  • 2010-2014  (7)
  • Martinez, Leonardo  (7)
Type of Medium
Language
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  • Stabi Berlin  (7)
  • HU Berlin
  • Bibliothek Lübbenau - Vetschau
  • HEROLD
  • Kreismedienzentrum Teltow-Fläming
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  • 1
    Online Resource
    Online Resource
    Mortgage Defaults (2012)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845836501
    Format: Online-Ressource (33 p)
    Edition: Online-Ausg.
    ISBN: 1463932537 , 9781463932534
    Series Statement: IMF Working Papers Working Paper No. 12/26
    Content: This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the mortgage default rate. The average coefficients that measure the agents'' ability to self-insure against income shocks are similar to those of a SIM model without housing but housing increases the values of these coefficients for younger agents. The response of consumption to house price shocks is minimal. The introduction of minimum down payments or income garnishment benefits a majority of the population
    Additional Edition: Erscheint auch als Druck-Ausgabe Martinez, Leonardo Mortgage Defaults Washington, D.C. : International Monetary Fund, 2012 ISBN 9781463932534
    Language: English
    DOI: 10.5089/9781463932534.001
    URL: kostenfrei
    URL: kostenfrei
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    Stabi Berlin
  • 2
    Online Resource
    Online Resource
    Debt Dilution and Sovereign Default Risk (2011)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845877941
    Format: Online-Ressource (26 p)
    Edition: Online-Ausg.
    ISBN: 1455227099 , 9781455227099
    Series Statement: IMF Working Papers Working Paper No. 11/70
    Content: We propose a modification to a baseline sovereign default framework that allows us to quantify the importance of debt dilution in accounting for the level and volatility of the interest rate spread paid by sovereigns. We measure the effects of debt dilution by comparing the simulations of the baseline model (with debt dilution) with the ones of the modified model without dilution. We calibrate the baseline model to mimic the mean and standard deviation of the spread, as well as the external debt level, the mean debt duration and a measure of default frequency in the data. We find that, even without commitment to future repayment policies and withoutcontingency of sovereign debt, if the sovereign could eliminate debt dilution, the number of default per 100 years decreases from 3.10 to 0.42. The mean spread decreases from 7.38% to 0.57%. The standard deviation of the spread decreases from 2.45 to 0.72. Default risk falls in part because of a reduction of the level of sovereign debt (36% of the face value and of 11% of the market value). But we show that the most important effect of dilution on default risk results from a shift in the set of government''s borrowing opportunities. Our analysis is also relevant for the study of other credit markets where the debt dilution problem could be present
    Additional Edition: Erscheint auch als Druck-Ausgabe Martinez, Leonardo Debt Dilution and Sovereign Default Risk Washington, D.C. : International Monetary Fund, 2011 ISBN 9781455227099
    Language: English
    DOI: 10.5089/9781455227099.001
    URL: kostenfrei
    URL: kostenfrei
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    Stabi Berlin
  • 3
    Online Resource
    Online Resource
    Sudden stops, time inconsistency, and the duration of sovereign debt (2013)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845815059
    Format: Online-Ressource (17 p)
    Edition: Online-Ausg.
    ISBN: 1475586175 , 9781475586176
    Series Statement: IMF Working Papers Working Paper No. 13/174
    Content: We study the sovereign debt duration chosen by the government in the context of a standard model of sovereign default. The government balances off increasing the duration of its debt to mitigate rollover risk and lowering duration to mitigate the debt dilution problem. We present two main results. First, when the government decides the debt duration on a sequential basis, sudden stop risk increases the average duration by 1 year. Second, we illustrate the time inconsistency problem in the choice of sovereign debt duration: governments would like to commit to a duration that is 1.7 years shorter than the one they choose when decisions are made sequentially
    Additional Edition: Erscheint auch als Druck-Ausgabe Hatchondo, Juan Carlos Sudden stops, time inconsistency, and the duration of sovereign debt Washington, D.C. : International Monetary Fund, 2013 ISBN 9781475586176
    Language: English
    Keywords: Graue Literatur
    DOI: 10.5089/9781475586176.001
    URL: kostenfrei
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    Stabi Berlin
  • 4
    Online Resource
    Online Resource
    Quantitative Properties of Sovereign Default Models : Solution Methods Matter (2010)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845896830
    Format: Online-Ressource (28 p)
    Edition: Online-Ausg.
    ISBN: 1451982771 , 9781451982770
    Series Statement: IMF Working Papers Working Paper No. 10/100
    Content: We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of grid points to avoid generating spurious interest rate movements. This makes the discrete state technique significantly more inefficient than using Chebyshev polynomials or cubic spline interpolation to approximate the value functions. We show that the inefficiency of the discrete state space technique is more severe for parameterizations that feature a high sensitivity of the bond price to the borrowing level for the borrowing levels that are observed more frequently in the simulations. In addition, we find that the efficiency of the discrete state space technique can be greatly improved by (i) finding the equilibrium as the limit of the equilibrium of the finite-horizon version of the model, instead of iterating separately on the value and bond price functions and (ii) concentrating grid points in asset levels at which the bond price is more sensitive to the borrowing level and in levels that are observed more often in the model simulations. Our analysis questions the robustness of results in the sovereign default literature and is also relevant for the study of other credit markets
    Additional Edition: Erscheint auch als Druck-Ausgabe Martinez, Leonardo Quantitative properties of sovereign default models: solution methods matter Washington, D.C. : International Monetary Fund, 2010 ISBN 9781451982770
    Language: English
    DOI: 10.5089/9781451982770.001
    URL: kostenfrei
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    Stabi Berlin
  • 5
    Online Resource
    Online Resource
    International Reserves and Rollover Risk (2013)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845820443
    Format: Online-Ressource (40 p)
    Edition: Online-Ausg.
    ISBN: 1475571291 , 9781475571295
    Series Statement: IMF Working Papers Working Paper No. 13/33
    Content: Two striking facts about international capital flows in emerging economies motivate this paper: (1) Governments hold large amounts of international reserves, for which they obtain a return lower than their borrowing cost. (2) Purchases of domestic assets by nonresidents and purchases of foreign assets by residents are both procyclical and collapse during crises. We propose a dynamic model of endogenous default that can account for these facts. The government faces a trade-off between the benefits of keeping reserves as a buffer against rollover risk and the cost of having larger gross debt positions. Long-duration bonds, the countercyclical default premium, and sudden stops are important for the quantitative success of the model
    Additional Edition: Erscheint auch als Druck-Ausgabe Bianchi, Javier International Reserves and Rollover Risk Washington, D.C. : International Monetary Fund, 2013 ISBN 9781475571295
    Language: English
    DOI: 10.5089/9781475571295.001
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    Stabi Berlin
  • 6
    Online Resource
    Online Resource
    Non-Defaultable Debt and Sovereign Risk (2014)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845954253
    Format: Online-Ressource (25 p)
    Edition: Online-Ausg.
    ISBN: 1498325181 , 9781498325189
    Series Statement: IMF Working Papers Working Paper No. 14/198
    Content: We quantify gains from introducing non-defaultable debt as a limited additional financing option into a model of equilibrium sovereign risk. We find that, for an initial (defaultable) sovereign debt level equal to 66 percent of trend aggregate income and a sovereign spread of 2.9 percent, introducing the possibility of issuing non-defaultable debt for up to 10 percent of aggregate income reduces immediately the spread to 1.4 percent, and implies a welfare gain equivalent to a permanent consumption increase of 0.9 percent. The spread reduction would be only 0.1 (0.2) percentage points higher if the government uses nondefaultable debt to buy back (finance a “voluntary” debt exchange for) previously issued defaultable debt. Without restrictions to defaultable debt issuances in the future, the spread reduction achieved by the introduction of non-defaultable debt is short lived. We also show that allowing governments in default to increase non-defaultable debt is damaging at the time non-defaultable debt is introduced and inconsequential in the medium term. These findings shed light on different aspects of proposals to introduce common euro-area sovereign bonds that could be virtually non-defaultable
    Additional Edition: Erscheint auch als Druck-Ausgabe Hatchondo, Juan Carlos Non-Defaultable Debt and Sovereign Risk Washington, D.C. : International Monetary Fund, 2014 ISBN 9781498325189
    Language: English
    DOI: 10.5089/9781498325189.001
    URL: kostenfrei
    URL: kostenfrei
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    Stabi Berlin
  • 7
    Online Resource
    Online Resource
    Fiscal Rules and the Sovereign Default Premium (2012)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_84583634X
    Format: Online-Ressource (28 p)
    Edition: Online-Ausg.
    ISBN: 1463933150 , 9781463933159
    Series Statement: IMF Working Papers Working Paper No. 12/30
    Content: This paper finds optimal fiscal rule parameter values and measures the effects of imposing fiscal rules using a default model calibrated to an economy that in the absence of a fiscal rule pays a significant sovereign default premium. The paper also studies the case in which the government conducts a voluntary debt restructuring to capture the capital gains from the increase in its debt market value implied by a rule announcement. In addition, the paper shows how debt ceilings may reduce the procyclicality of fiscal policy and thus consumption volatility
    Additional Edition: Erscheint auch als Druck-Ausgabe Hatchondo, Juan Carlos Fiscal Rules and the Sovereign Default Premium Washington, D.C. : International Monetary Fund, 2012 ISBN 9781463933159
    Language: English
    DOI: 10.5089/9781463933159.001
    URL: kostenfrei
    URL: kostenfrei
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    Stabi Berlin
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