We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often

Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income

We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many

This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? Wh

Motivated by the recent European debt crisis, this paper investigates the scope for a bailout guarantee in a sovereign debt crisis. Defaults may arise from nega