Sovereign Risk, Financial Fragility and Debt Maturity - Aix-Marseille Université Access content directly
Preprints, Working Papers, ... Year : 2022

Sovereign Risk, Financial Fragility and Debt Maturity

Dallal Bendjellal
  • Function : Author
  • PersonId : 1169134

Abstract

This paper studies the transmission of a sovereign debt crisis in which a shift in default risk generates a recession and gives rise to a doom loop between sovereign distress and bank fragility with important amplification effects. The model is used to investigate the macroeconomic and welfare effects of altering debt maturity during the crisis. Short-term maturities alleviate the bankers' losses on long-term bonds and moderate the recession at the cost of higher levels of debt in the future. In contrast, long-term maturities are more effective to reduce the households' welfare losses as they lower default risk and distortionary taxes.
Fichier principal
Vignette du fichier
WP 2022 - Nr 22.pdf (850.11 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-03792522 , version 1 (30-09-2022)

Identifiers

  • HAL Id : hal-03792522 , version 1

Cite

Dallal Bendjellal. Sovereign Risk, Financial Fragility and Debt Maturity. 2022. ⟨hal-03792522⟩
68 View
37 Download

Share

Gmail Facebook X LinkedIn More