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作者：Daniel, Betty C.; Nam, Jinwook
作者单位：State University of New York (SUNY) System; University at Albany, SUNY
摘要：The Greek debt crisis revealed that sovereign default is not limited to emerging and developing countries. Can we take the strategic default model, developed for emerging markets, and recalibrate it to explain the crisis in Greece? The Greek economy differs from an emerging market in having higher government debt relative to GDP, counter-cyclical government debt, and consumption smoother than income. Our recalibrated strategic default model matches the high debt/GDP, but it misses the other tw...
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作者：Benhima, Kenza; Cordonier, Rachel
作者单位：University of Lausanne; Swiss National Bank (SNB)
摘要：We examine empirically the effect of two types of shocks related to expectations - news (increases in expected future productivity) and sentiment (surges in optimism unrelated to future productivity) - on gross capital flows. These two shocks together explain more than 80% of the variation in gross capital flows at all horizons, with the largest part being due to sentiment shocks. Both these shocks drive a positive correlation between gross inflows and outflows but only sentiments shocks gener...
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作者：Rojas, Diego; Vegh, Carlos; Vuletin, Guillermo
作者单位：The World Bank; University System of Maryland; University of Maryland Baltimore County; Johns Hopkins University; National Bureau of Economic Research
摘要：We analyze the macroeconomic effects of macroprudential policy - in the form of legal reserve requirements - in three Latin American countries (Argentina, Brazil, and Uruguay). To correctly identify innovations in changes in legal reserve requirements, we develop a narrative approach that classifies each change into endogenous or exogenous to the business cycle. We show that this distinction is critical in understanding the macroeconomic effects of reserve requirements. In particular, we show ...
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作者：Ornelas, Emanuel; Tovar, Patricia
作者单位：Getulio Vargas Foundation; Pontificia Universidad Catolica del Peru
摘要：We study how countries choose intra-bloc tariffs and preferential margins in Preferential Trade Agreements (PTAs). Our model indicates that countries should set systematically lower preferential margins when the bloc takes the form of a free trade area, relative to a customs union. Moreover, in customs unions (but not necessarily in free trade areas) preferential margins should increase with the supply of partner countries and decrease with the level of preferential imports. These relationship...
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作者：Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajsek, Egon
作者单位：New York University; National Bureau of Economic Research; Federal Reserve System - USA; Federal Reserve Bank - Atlanta; Emory University; Bank for International Settlements (BIS); Centre for Economic Policy Research - UK
摘要：In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond-level sovereign spreads for dollardenominated bonds issued by over 50 countries from 1995 to 2020 and use various indicators to measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global financial ...
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作者：Passadore, Juan; Xu, Yu
作者单位：University of Delaware
摘要：We study sovereign debt and default policies when credit and liquidity risk are jointly determined. To account for both types of risks, we focus on an economy with incomplete markets, limited commitment, and search frictions in the secondary market for sovereign bonds. We quantify the effect of liquidity on sovereign spreads and welfare by performing quantitative exercises when our model is calibrated to match key features of the Argentinean default in 2001. From a positive point of view, we f...
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作者：Gelos, Gaston; Gornicka, Lucyna; Koepke, Robin; Sahay, Ratna; Sgherri, Silvia
作者单位：International Monetary Fund; Centre for Economic Policy Research - UK
摘要：We propose a new quantile regression framework to predict the entire future probability distribution of capital flows to emerging markets, based on changes in global financial conditions, domestic structural characteristics, and policies. The approach allows us to differentiate between the impact on the median versus the tails of the future predicted density of flows, and between short-and medium-term effects. We find that FX-and macroprudential interventions are effective in mitigating downsi...
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作者：Jarocinski, Marek
作者单位：European Central Bank
摘要：News about the economy contained in a central bank announcement can affect public expec-tations. This paper shows, using both event studies and vector autoregressions, that such cen-tral bank information effects are an important channel of the transatlantic spillover of monetary policy. They account for a part of the co-movement of German and US government bond yields around Fed policy announcements, and for most of this co-movement around ECB policy announcements. Consequently, ECB surprise i...
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作者：Hoffmann, Mathias; Maslov, Egor; Sorensen, Bent E.
作者单位：University of Zurich; University of Zurich; University of Houston System; University of Houston; Leibniz Association; Ifo Institut; Australian National University; Centre for Economic Policy Research - UK
摘要：After the inception of the euro, the real economy in most member countries remained dependent on credit by domestic banks, which increasingly funded themselves through cross-border interbank funding. We find that this pattern of 'double-decker' banking integration exposed domestic banks to sharp declines in cross-border interbank lending during the eurozone crisis. As a result, domestic banks reduced lending, which led to large declines in output in sectors with many small (bank-dependent) fir...
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作者：Abramson, Boaz; Shayo, Moses
作者单位：Stanford University; Hebrew University of Jerusalem; University of London; King's College London
摘要：This paper contributes to the literature incorporating social identity into international economics. We develop a theoretical framework for studying the interplay between international integration and identity politics, taking into account that both policies and identities are endogenous. We find that, in general, a union is more fragile when peripheral member countries have higher status than the politically dominant Core countries, as this leads in equilibrium to stronger national identifica...
