Long-Duration Bonds and Sovereign Defaults (Revised July 2009)

By J. Hatchondo, Leonardo Martinez. 2009

391 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/20bb757ebade619bac76e73ebc9d8771ec4fbcbc

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

Citations in the corpus

Measuring Bilateral Spillover and Testing Contagion on Sovereign Bond Markets in Europe (2014, background): “Recent papers in the literature of endogenous sovereign risk include Hatchondo and Martinez (2009) and Lizarazo (2013).”
International Reserves and Rollover Risk (2013, positive): “As in Arellano and Ramanarayanan (2012) and Hatchondo and Martinez (2009), we assume that a bond issued in period t promises a deterministic infinite stream of coupons that decreases at an exogenous constant rate δ .”
Debt Dilution and Sovereign Default Risk (2011, neutral): “…and Verdelhan (2009), Boz (2009), Cuadra et al. (forthcoming), Cuadra and Sapriza (2006, 2008), Chatterjee and Eyigungor (2009), D’Erasmo (2008), Hatchondo and Martinez (2009), Hatchondo et al. (2007, 2009, 2010), Lizarazo (2005, 2006), Mendoza and Yue (2008), Sandleris et al. (2009), and Yue…”
Sovereign defaults and banking crises (2018, background): “Combining equations (12), (14) and (15) we get:”
Quantitative Models of Sovereign Debt Crises (2016, neutral): “Starting with the period of mandatory exclusion and continuing for as long as exclusion lasts, the sovereign loses a proportion φ(g, z) of (nondefault state) 6See also Hatchondo and Martinez (2009), Chatterjee and Eyigungor (2012) and Arellano and Ramanarayanan (2012). output Y .”
Quantitative Properties of Sovereign Default Models: Solution Methods Matter (2010, neutral): “For example, we find that it is computationally costly to eliminate the significant distortions that DSS introduces in the behavior of the interest rate spread for the models presented in Hatchondo and Martinez (2009) and Hatchondo et al. (2007, 2009).”
Fiscal Rules and the Sovereign Default Premium (2022, positive): “As in Hatchondo and Martinez (2009), we assume that a bond issued in period t promises an infinite stream of coupons, with coupon payments decreasing at a constant rate δ.”
Default risk and risk averse international investors (2013, background): “…model with risk averse investors has the volatility 15Models of endogenous sovereign risk that look at these subjects include, for example, Arellano and Ramanarayan (2008), Hatchondo and Martinez (2009), Mendoza and Yue (2011), and Sosa-Padilla (2011). increasing for the year previous to default.”
Sovereign Risk Premia (2011, neutral): “%) but lower than in Hatchondo and Martinez (2009) (10% minimum) and in line with the evidence of a signi cant output drop in the aftermath of a default (see, for example, Rose (2005)).”
Empirical Research on Sovereign Debt and Default (2013, background): “More research is needed to know how debt restructuring affects sovereign welfare.”
Sovereign Debt Restructurings: Preemptive or Post-Default (2015, background): “Some recent studies use models with long maturity bonds without restructurings, for instance Hatchondo and Martinez (2009), Chatterjee and Eyigungor (2012), and Arellano and Ramanarayanan (2012).”
Monetary Policy and the Redistribution Channel (2017, positive): “The long-term bond is modeled as in Hatchondo and Martinez (2009): it can be bought at time t at price Qt and is a promise to pay a geometrically declining nominal coupon with pattern ( 1, δN , δ2N , . . . ) starting at date t + 1 and until the horizon end-point.”