Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5060757 | Economics Letters | 2012 | 4 Pages |
Abstract
⺠We study the relationship between sovereign default risk and macroeconomic volatility. ⺠We use a quantitative model with endogenous default risk. ⺠We find a non-monotonic relationship between default risk and volatility. ⺠This result reflects as a trade-off between prudence and the insurance value of default. ⺠We show that this feature also holds in the data.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Christian Daude,