Sovereign Default Risk and Bank Fragility in Financially Integrated Economies

By Patrick Bolton, Olivier Jeanne. 2011

366 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a684675259552ea982ff123d6be2f437fabad834

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. René Kallestrup
2. César Sosa‐Padilla
3. Agatha Murgoci
4. D. Lando

In Finance

1. René Kallestrup
2. César Sosa‐Padilla
3. Agatha Murgoci
4. D. Lando
5. Yan Zeng
6. Richard M Cantor

Citations in the corpus

• Financial Sector Linkages and the Dynamics of Bank and Sovereign Credit Spreads (2014, methodology): “From the estimated asset value and asset volatility, ‘ distance-to-default ’ (DD) is computed, and fi nally a non-parametric regression on historical data is used to fi nd the empirical connection between DD and EDF, as explained in Crosbie and Bohn (2003).”
• Sovereign defaults and banking crises (2018, background): “We depart from Bolton and Jeanne (2011) in that their focus is mostly on advance economies and contagion among them, whereas our paper focuses on emerging economies.”
• Financial Repression in the European Sovereign Debt Crisis (2017, neutral): “See Bolton and Jeanne (2011) and Cooper and Nikolov (2014).”
• Bubbles, Financial Crises, and Systemic Risk (2012, neutral): “Bolton and Jeanne (2011) develop a model of two financially”
• The 'Greatest' Carry Trade Ever? Understanding Eurozone Bank Risks (2013, neutral): “…The more entangled the financial sector and the governments become, the more costly the government default would be due to “collateral damage” in the form of bank runs and disruption of interbank and repo markets (Broner, Martin, and Ventura, 2010; Acharya and Rajan, 2011; Bolton and Jeanne, 2011).”
• Deadly Embrace: Sovereign and Financial Balance Sheets Doom Loops (2018, neutral): “There is also an equilibrium with high diversification b∗ 0 = (−Ψ′)−1( π(1−π)(1−x−y) π+(1−π)(x+y) ) and a low probability of default (1− π)(1− x− y), which exists if and only if condition (6) is verified.”
• The impact of sovereign credit risk on bank funding conditions (2011, neutral): “Data on countries’ share of total sovereign debt are from Bolton and Jeanne (2011).”
• Sovereign Default, Domestic Banks, and Financial Institutions (2013, neutral): “One such reason is that banks hold bonds as a buffer against idiosyncratic shocks because these bonds can be used as collateral for interbank lending or repos (see Bolton and Jeanne (2011)).”