| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27639 |
| 来源ID | Working Paper 27639 |
| Interest Rate Uncertainty and Sovereign Default Risk | |
| Alok Johri; Shahed Khan; César Sosa-Padilla | |
| 发表日期 | 2020-08-10 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Empirical studies suggest that fluctuations in the level and volatility of the world interest rate affect sovereign spreads in emerging economies. We incorporate an estimated time-varying process for the world interest rate (with both level and volatility shocks) into a model of sovereign default calibrated to a panel of emerging economies. Time variation in the world interest rate interacts with default incentives in the model and leads to state contingent effects similar to the empirical literature. On average, in response to a rise in the world interest rate the model delivers a 1.4 times increase in the spread. The volatility state has a major impact on this average – the increase in spreads is much larger in high volatility states. Moreover, we show that fluctuations in the world interest rate can generate considerable co-movement in sovereign yields across nations, as seen in the data. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w27639 |
| 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/585311 |
| 推荐引用方式 GB/T 7714 | Alok Johri,Shahed Khan,César Sosa-Padilla. Interest Rate Uncertainty and Sovereign Default Risk. 2020. |
| 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 | ||
| w27639.pdf（747KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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