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Predicting Sovereign Debt Crises

Predicting Sovereign Debt Crises »

Source: Predicting Sovereign Debt Crises

Volume/Issue: 2003/221

Series: IMF Working Papers

Author(s): Axel Schimmelpfennig , Nouriel Roubini , and Paolo Manasse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2003

ISBN: 9781451875256

Keywords: Early-warning system, sovereign debt crises, sovereign default, debt crisis, external debt, debt crises, short-term debt, currency crisis, General Outlook and Conditions, Forecasting and Other Model Applications

We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF finan...

Rating the Rating Agencies

Rating the Rating Agencies »

Source: Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises?

Volume/Issue: 2003/122

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854510

Keywords: Crisis, distress, early-warning systems, probability of default, ratings, currency crises, currency crisis, debt crises, bond, sovereign default

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipa...

Pricing Sovereign Debt in Resource-Rich Economies

Pricing Sovereign Debt in Resource-Rich Economies »

Source: Pricing Sovereign Debt in Resource-Rich Economies

Volume/Issue: 2019/240

Series: IMF Working Papers

Author(s): Thomas McGregor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 November 2019

ISBN: 9781513516431

Keywords: Market interest rates, Economic conditions, Financial crises, Real interest rates, Commodity price fluctuations, Risk premium, natural resources, sovereign debt, and default, development

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 s...

Predicting Sovereign Debt Crises

Predicting Sovereign Debt Crises »

Volume/Issue: 2003/221

Series: IMF Working Papers

Author(s): Axel Schimmelpfennig , Nouriel Roubini , and Paolo Manasse

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2003

DOI: http://dx.doi.org/10.5089/9781451875256.001

ISBN: 9781451875256

Keywords: Early-warning system, sovereign debt crises, sovereign default, debt crisis, external debt, debt crises, short-term debt, currency crisis, General Outlook and Conditions, Forecasting and Other Model Applications

We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF finan...

Rating the Rating Agencies
			: Anticipating Currency Crises or Debt Crises?

Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises? »

Volume/Issue: 2003/122

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

DOI: http://dx.doi.org/10.5089/9781451854510.001

ISBN: 9781451854510

Keywords: Crisis, distress, early-warning systems, probability of default, ratings, currency crises, currency crisis, debt crises, bond, sovereign default

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipa...

Pricing Sovereign Debt in Resource-Rich Economies

Pricing Sovereign Debt in Resource-Rich Economies »

Volume/Issue: 2019/240

Series: IMF Working Papers

Author(s): Thomas McGregor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 November 2019

DOI: http://dx.doi.org/10.5089/9781513516431.001

ISBN: 9781513516431

Keywords: Market interest rates, Economic conditions, Financial crises, Real interest rates, Commodity price fluctuations, Risk premium, natural resources, sovereign debt, and default, development

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 s...