Search results for "Sovereign debt"
showing 10 items of 27 documents
Do debt crises boost financial reforms?
2014
"Published online: 15 Aug. 2014"
Quantum macroeconomics: A tribute to Bernard Schmitt
2016
Bernard Schmitt, the founder of quantum macroeconomics, died on 26 March 2014. His legacy concerns the discovery of the logical laws of monetary macroeconomics and extends to the explanation of the origin and nature of economic and financial crises. Starting from a novel conception of bank money, he was able to show that economics is founded on true macroeconomic laws, which take the form of logical identities. This paper is a brief and necessarily incomplete introduction to the main themes of Schmitt's macroeconomic analysis. It ranges from the distinction between money and income that lies at the hearth of his theory of the circuit, to the investigation of inflation and unemployment as pa…
EU external policy at the crossroads: The challenge of actorness and effectiveness
2013
The goal of this Special Issue is to improve our conceptualisation and empirical understanding of EU actorness and effectiveness in International Relations. While the European Union aspires to play a greater global role, its actorness and effectiveness cannot be taken for granted given the nature of the EU as a multi-level and semi-supranational polity encompassing 28 Member States with diverse foreign policy preferences. The EU is presently at an important crossroad. On the one hand, its external policy stature and capacity have been boosted by institutional innovations and by the Union’s increased involvement in the full spectrum of international issues. On the other hand, a number of fa…
Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust
2017
Abstract This paper provides further analysis on the determinants of sovereign debt spreads for peripheral Eurozone countries since the start of EMU, paying special attention to episodes that characterized the global financial crisis aftermath starting in 2007. More specifically, the purpose of our research is to disentangle the role of fundamental variables and market perception about variations on risk in order to explain the evolution of sovereign spreads in EMU during the recent crisis. Our results, in line with previous literature, show the importance of three groups of observable variables, namely, changes in risk-aversion of creditors, fiscal indebtedness and liquidity variables. In …
Transmission of Sovereign Risk in the Euro Crisis
2012
We assess the role of financial linkages in the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a vector autoregressive model of daily sovereign CDS premia for eleven European countries. To estimate how these shocks transmit across borders, we use data on cross-country bank exposures to sovereign debt. Our results indicate that cross-border financial exposures constitute important transmission channels. A 10-percent decrease in the exposure to Greek debt reduces, on average, the transmission rate of sovereign risk by 9.4 percent. Decomposing these effects, we find that exp…
The Power of Fiction in Creating a Territory’s Image
2021
The current economic crisis, and its effects on the European sovereign debt, has resulted in a significant reduction in Italian investments in the field of preservation and enhancement of cultural heritage. In fragile contexts, such as Sicily, the contraction of investments has put further into crisis the already weak manage- ment and planning system. Despite this scenario of crisis, in South-Eastern Sicily, the province of Ragusa shows a significant resilience to the crisis also due to the “Mon- talbano effect” and the capability to rethink the traditional heritage policies (Maga- zzino and Mantovani 2012). The paper, based on the analysis of the South-Eastern Sicily case study, reflects o…
Risk Management Optimization for Sovereign Debt Restructuring
2015
Abstract Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed conditional Debt-at-Risk. A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, m…
Stochastic debt sustainability analysis for sovereigns and the scope for optimization modeling
2017
We express the opinion that sovereign debt sustainability analysis must be augmented by stochastic correlated risk factors and a risk measure to capture tail effects. Crisis situations can thus be adequately specified and analyzed with sufficient accuracy to warrant the relevance of policy decisions. In this context there is significant scope for optimization modeling for both strategic planning and operational management. We discuss diverse aspects of the problem of debt sustainability and highlight modeling approaches that can be brought to bear on the problem. Results with the fictitiuous, but nor unrealistic, Kingdom of Atlantis, which is sinking under excessive debt, illustrate the pro…
Risk profiles for re-profiling sovereign debt
2015
Purpose – This paper aims to use a risk management approach for re-profiling of sovereign debt. It develops profiles that trade off expected cost of financing alternative debt structures against their risk. The risk profiles are particularly informative for countries facing sovereign debt crisis, as they allow us to identify, with high probability, debt unsustainability. Risk profiles for two eurozone countries with excessive debt, Cyprus and Italy, were developed. In addition, risk profiles were developed for a proposal to impose debt sanctions in the Ukrainian crisis and it was shown that the financial impact could be substantial. Design/methodology/approach – Using scenario analysis, a r…
Risk management optimization for sovereign debt restructuring
2015
Debt restructuring is one of the policy tools available for resolving sovereign debt crises and, while unorthodox, it is not uncommon. We propose a scenario analysis for debt sustainability and integrate it with scenario optimization for risk management in restructuring sovereign debt. The scenario dynamics of debt-to-GDP ratio are used to define a tail risk measure, termed "conditional Debt-at-Risk". A multi-period stochastic programming model minimizes the expected cost of debt financing subject to risk limits. It provides an operational model to handle significant aspects of debt restructuring: it collects all debt issues in a common framework, and can include contingent claims, multiple…