| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24031 |
| 来源ID | Working Paper 24031 |
| Sovereign Risk Contagion | |
| Cristina Arellano; Yan Bai; Sandra Lizarazo | |
| 发表日期 | 2017-11-20 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We develop a theory of sovereign risk contagion based on financial links. In our multi-country model, sovereign bond spreads comove because default in one country can trigger default in other countries. Countries are linked because they borrow, default, and renegotiate with common lenders, and the bond price and recovery schedules for each country depend on the choices of other countries. A foreign default increases the lenders’ pricing kernel, which makes home borrowing more expensive and can induce a home default. Countries also default together because by doing so they can renegotiate the debt simultaneously and pay lower recoveries. We apply our model to the 2012 debt crises of Italy and Spain and show that it can replicate the time path of spreads during the crises. In a counterfactual exercise, we find that the debt crisis in Spain (Italy) can account for one-half (one-third) of the increase in the bond spreads of Italy (Spain). |
| 主题 | International Economics ; International Finance ; Financial Economics |
| URL | https://www.nber.org/papers/w24031 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581705 |
| 推荐引用方式 GB/T 7714 | Cristina Arellano,Yan Bai,Sandra Lizarazo. Sovereign Risk Contagion. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24031.pdf（651KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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