scholarly journals Interest Rate Uncertainty and Sovereign Default Risk

2020 ◽  
Author(s):  
Alok Johri ◽  
Shahed Khan ◽  
César Sosa-Padilla
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Sovereign Default ◽  
Sovereign Default Risk

scholarly journals Interest Rate Uncertainty and Sovereign Default Risk

2020 ◽  
Author(s):  
Alok Johri ◽  
Shahed Khan ◽  
César Sosa‐Padilla
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Sovereign Default ◽  
Sovereign Default Risk

scholarly journals Pricing Sovereign Debt in Resource-Rich Economies

2019 ◽  
Vol 19 (240) ◽  
Author(s):  
Thomas McGregor
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Sovereign Debt ◽  
Emerging Market ◽  
Sovereign Default ◽  
Oil Price ◽  
Risk Premiums ◽  
Sovereign Spreads ◽  
Sovereign Default Risk ◽  
Interest Rate Spreads

How do oil price movements affect sovereign spreads in an oil-dependent economy? I develop a stochastic general equilibrium model of an economy exposed to co-moving oil price and output processes, with endogenous sovereign default risk. The model explains a large proportion of business cycle fluctuations in interest-rate spreads in oil-exporting emerging market economies, particularly the countercyclicallity of interest rate spreads and oil prices. Higher risk-aversion, more impatient governments, larger oil shares and a stronger correlation between domestic output and oil price shocks all lead to stronger co-movements between risk premiums and the oil price.

scholarly journals Interest Rate Uncertainty and Sovereign Default Risk

2020 ◽  
Author(s):  
Alok Johri ◽  
Shahed Khan ◽  
César Sosa‐Padilla
Keyword(s):  
Interest Rate ◽  
Default Risk ◽  
Sovereign Default ◽  
Sovereign Default Risk
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