Sovereign Risk, Financial Fragility and Debt Maturity

Dallal Bendjellal ()
Additional contact information
Dallal Bendjellal: AMSE - Aix-Marseille Sciences Economiques - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique

Working Papers from HAL

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.

Keywords: Debt Crisis; Sovereign Default Risk; Financial Fragility; Maturity Dynamics (search for similar items in EconPapers)
Date: 2022-09
New Economics Papers: this item is included in nep-ban and nep-dge
Note: View the original document on HAL open archive server: https://amu.hal.science/hal-03792522
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://amu.hal.science/hal-03792522/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-03792522

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().