JEL Classification F34
"International Lending and Debt Problems"These are all the papers that have a JEL assignment (not all authors have given JEL codes to their papers) and that include the F34 classification. (sorted by date) Determinants of Sovereign Risk: Macroeconomic Fundamentals and the Pricing of Sovereign Debt
by Jens Hilscher of Brandeis University, and
Yves Nosbusch of the London School of Economics
(504K PDF) -- 45 pages -- November 2007 Heterogeneous Borrowers in Quantitative Models of Sovereign Default
by Juan Carlos Hatchondo of the Federal Reserve Bank of Richmond,
Leonardo Martinez of the Federal Reserve Bank of Richmond, and
Horacio Sapriza of Rutgers University
(413K PDF) -- 35 pages -- July 10, 2007 Default Risk and Income Fluctuations in Emerging Economies
by Cristina Arellano of the University of Minnesota & the Federal Reserve Bank of Minneapolis
(347K PDF) -- 33 pages -- July 2007 The Empirical Determinants of Local-Currency-Denominated Corporate Spreads in Emerging Economies: Evidence from South Africa
by Martin Grandes of the the American University of Paris, and
Marcel Peter of Swiss National Bank
(338K PDF) -- 40 pages -- July 2007 Credit Derivatives and Sovereign Debt Crises
by Benedikt Goderis of the University of Oxford, and
Wolf Wagner of Cambridge University and Tilburg University
(209K PDF) -- 32 pages -- March 23, 2007 Reverse Engineering Banks Financial Strength Ratings Using Logical Analysis of Data
by Peter L. Hammer of Rutgers University,
Alexander Kogan of Rutgers University, and
Miguel A. Lejeune of Carnegie Mellon University
(375K PDF) –- 31 pages -- January 2007 Sovereign Debt Spreads in a Markov Switching Regime
by Burcu Eyigungo of UCLA
(197K PDF) -- 19 pages -- November 13, 2006 Sovereign Debt Crises and Credit to the Private Sector
by Carlos Arteta of the Board of Governors of Federal Reserve, and
Galina Hale of the Federal Reserve Bank of San Francisco
(323K PDF) –- 42 pages -- December 15, 2006 The Pricing of Credit Default Swaps During Distress
by Jochen Andritzky of the International Monetary Fund, and
Manmohan Singh of the International Monetary Fund
(423K PDF) -- 25 pages -- November 2006 Predicting Sovereign Debt Crises Using Artificial Neural Networks: A comparative approach
by Marco Fioramanti of the Istituto di Studi e Analisi Economica – (ISAE)
(323K PDF) –- 32 pages -- October 2006 Country Default Probabilities: Assessing and Backtesting
by Stefan Huschens of the Technische Universität Dresden,
Alexander Karmann of the Technische Universität Dresden,
Dominik Maltritz of the Technische Universität Dresden, and
Konstantin Vogl of the Technische Universität Dresden
(342K PDF) –- 22 pages -- September 1, 2006 Estimating the Effects of Information Quality of Macro Aggregates on Sovereign Risk (Job Market Paper)
by Seung Jung Lee of the University of Chicago
(224K PDF) –- 55 pages -- May 10, 2006 Why are there Serial Defaulters? Quasi-experimental evidence from constitutions
by Emanuel Kohlscheen of the University of Warwick
(639K PDF) -- 24 pages -- March 16, 2006 How Important Is Sovereign Risk in Determining Corporate Default Premia
by Marcel Peter of Swiss National Bank, and
Martin Grandes of the American University of Paris
(928K PDF) –- 64 pages -- November 2005 Determinants of Spreads on Sovereign Bank Loans: The role of credit history
by Peter Benczur of Magyar Nemzeti Bank and Central European University, and
Cosmin Ilut of Northwestern University
(858K PDF) -- 29 pages -- November 2005 Overpricing in Emerging Market Credit-Default-Swap Contracts: Some evidence from recent distress cases
by Manmohan Singh of the International Monetary Fund, and
Jochen Andritzky of the International Monetary Fund
(367K PDF) –- 14 pages -- June 2005 "Rules of Thumb" for Sovereign Debt Crises
by Paolo Manasse of the Università di Bologna and the International Monetary Fund, and
Nouriel Roubini of the New York University
(490K PDF) -– 33 pages -- March 2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets
by Didier Cossin of IMD International and FAME, and
Gero Jung of Fame, and the Graduate Institute of International Studies
(2,778K PDF) –- 35 pages -- March 2005 Predicting Default Probabilities and Implementing Trading Strategies for Emerging Markets Bond Portfolios
by Andrea Berardi of the University of Verona,
Stefania Ciraolo of the University of Leuven, and
Michele Trova of Monte Paschi A.M.
(640K PDF) -- 28 pages -- June 29, 2004 A Risk Management Approach to Emerging Markets Sovereign Debt Sustainability with an Application to Brazilian Data
by Márcio Gomes Pinto Garcia of PUC-Rio, and
Roberto Rigobon of the Massachusetts Institute of Technology
(433K PDF) -- 26 pages -- March 17, 2004 Country Risk Ratings: Statistical and Combinatorial Non-recursive Models
by Peter L. Hammer of Rutgers University,
Alexander Kogan of Rutgers University, and
Miguel A. Lejeune of Rutgers University
(415K PDF) -- 48 pages -- March 2004 Debt Intolerance
by Carmen M. Reinhart of the International Monetary Fund,
Kenneth S. Rogoff of the International Monetary Fund, and
Miguel A. Savastano of the International Monetary Fund
(517K PDF) -- 77 pages -- August 2003 Recovery Rates from Distressed Debt - Empirical Evidence from Chapter 11 Filings, International Litigation, and Recent Sovereign Debt Restructurings
by Manmohan Singh of the International Monetary Fund
(679K PDF) -- 25 pages -- August 2003 Sovereign Risk in a Structural Approach - Evaluating Sovereign Ability-to-Pay and Probability of Default
by Alexander Karmann of the Dresden University of Technology, and
Dominik Maltritz of the Dresden University of Technology
(628K PDF) -- 39 pages -- October 10, 2002 Staying Afloat When the Wind Shifts: External Factors and Emerging-Market Banking Crises
by Barry Eichengreen of the International Monetary Fund, and
Andrew K. Rose of the University of California at Berkeley
(169K PDF) -- 46 pages -- December 10, 1997
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