Sovereign default and debt renegotiation

By Vivian Z. Yue. 2010

505 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/358cca4cc6b71fedb85ce33da07b3fc2f7df923c

How researchers see this paper

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

In Economics and Econometrics

1. J. Hatchondo
2. Leonardo Martinez
3. P. D’Erasmo
4. Christoph Trebesch
5. Horacio Sapriza
6. Mark L. J. Wright
7. G. Hale
8. Carlos Arteta

In Finance

1. J. Hatchondo
2. Leonardo Martinez
3. P. D’Erasmo
4. Christoph Trebesch
5. Mark L. J. Wright
6. Michael Tomz
7. T. Asonuma
8. Horacio Sapriza

Citations in the corpus

• What is a Sustainable Public Debt (2015, unknown): “The field became very active again, and with a particular interest in quantitative analysis, in the aftermath of the emerging markets crises of the 1990s (e.g. Aguiar and Gopinath (2006), Arellano (2008), Pitchford and Wright (2012), Yue (2010), Mendoza and Yue (2012)).”
• Sovereign Default, Interest Rates and Political Uncertainty in Emerging Markets (2008, background): “Yue (2004) shows that the argentinian output is characterized by a stochastic trend and uses an endowment process with shocks to the trend growth rate to study sovereign default and debt renegotiation in emerging markets economies.”
• Sovereign Debt Crises and Credit to the Private Sector (2006, background): “Recent models of financial crises in general and debt crises in particular assume that debt crises are costly, particularly in terms of cost of capital (Arellano, 2004; Arellano and Ramanarayanan, 2006; Yue, 2005), but there is very little empirical evidence on the nature of these costs.”
• Sovereign Debt Restructurings: Preemptive or Post-Default (2015, methodology): “As in previous models of sovereign debt renegotiation, such as Yue (2010), we find recovery rates to increase in asset level and income level.”
• Conditional Euro Area Sovereign Default Risk (2014, unknown): “For a discussion of this figure in the financial press, see Wessel (2013). Table 3 reports model-based estimates of joint and conditional risk around the OMT announcements.”
• Heterogeneous Borrowers in Quantitative Models of Sovereign Default (2009, unknown): “Note that the data moments reported in Table 2 display the same qualitative features that are obtained using a longer sample period or using data from other emerging markets; see, for example, Aguiar and Gopinath (2007), Neumeyer and Perri (2005), and Uribe and Yue (2006). The exception is that in t”
• Empirical Research on Sovereign Debt and Default (2013, background): “Nominal haircuts (Alesina and Weder 2002, Yue 2010) value both old and new debts at face value, ignoring that defaulted debts trade at a discount to face value, and that debts issued during a settlement tend to mature over a longer time horizon.”
• Government Reputation and Debt Repayment in Emerging Economies (2008, background): “In line with Yue (2010), Benjamin and Wright (2009) and Bi (2009), this paper analyzes an environment with endogenous recovery rates and periods of exclusion.”