Related papers: Sovereign Debt Default and Climate Risk
We estimate the causal effect of external debt on greenhouse gas emissions in a panel of 78 emerging market and developing economies over the 1990-2015 period. Unlike previous literature, we use external instruments to address the potential…
We study the relationship between foreign debt and GDP growth using a panel dataset of 50 countries from 1997 to 2015. We find that economic growth correlates positively with foreign debt and that the relationship is causal in nature by…
Despite decades of climate policy and rapid improvements in energy efficiency, global CO2 emissions continue to rise, suggesting the presence of structural drivers that offset efficiency gains. Here we identify financial leverage as a key…
This paper studies how international investors' concerns about model misspecification affect sovereign bond spreads. We develop a general equilibrium model of sovereign debt with endogenous default wherein investors fear that the…
We consider a model of debt management, where a sovereign state trade some bonds to service the debt with a pool of risk-neutral competitive foreign investors. At each time, the government decides which fraction of the gross domestic…
Mortgage default rates, on the one hand, serve as a measure of economic health to support decision-making by insurance companies, and on the other hand, is a key risk factor in the asset-liability management (ALM) practice, as mortgage…
Public debt is one of the important economic variables that quantitatively describes a nation's economy. Because bankruptcy is a risk faced even by institutions as large as governments (e.g. Iceland), national debt should be strictly…
In a dynamic economy, we characterize the fiscal policy of the government when it levies distortionary taxes and issues defaultable bonds to finance its stochastic expenditure. Default may occur in equilibrium as it prevents the government…
With negative growth in real production in many countries and debt levels which become an increasing burden on developed societies, the calls for a change in economic policy and even the monetary system become louder and increasingly…
Climate change and environmental concerns represent a global crisis accompanied by significant economic challenges. Regular international conferences held to address these issues, such as in the UK (2021) and Egypt (2022), spark debate…
Recently, there has been a growing interest in network research, especially in these fields of biology, computer science, and sociology. It is natural to address complex financial issues such as the European sovereign debt crisis from the…
We analyze the implications of transboundary pollution externalities on environmental policymaking in a spatial and finite time horizon setting. We focus on a simple regional optimal pollution control problem in order to compare the global…
The dissertation consists of three essays on responsible and sustainable finance. I show that local communities should be seen as stakeholders to decisions made by corporations. In the first essay, I examine whether the imposition of…
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset…
Did sovereign default risk affect macroeconomic activity through firms' access to credit during the European sovereign debt crisis? We investigate this question by a estimating a structural panel vector autoregressive model for Italy,…
The paper analyzes the mathematics of the relationship between the default risk and yield-to-maturity of a coupon bond. It is shown that the yield-to-maturity is driven not only by the default probability and recovery rate of the bond but…
We estimate the national social cost of carbon using a recent meta-analysis of the total impact of climate change and a standard integrated assessment model. The average social cost of carbon closely follows per capita income, the national…
We propose to explore the sustainability of climate policies based on a novel commitment metric. This metric allows to quantify how future generations' scope of action is affected by short-term climate policy. In an example application, we…
Economic complexity has been linked to sustainability outcomes, such as income inequality and greenhouse gas emissions. Yet, it is unclear whether the pursuit of complex and/or related activities naturally aligns with these outcomes, or…
In this paper, we examine the materiality of ESG on country creditworthiness from a credit risk and fundamental analysis viewpoint. We first determine the ESG indicators that are most relevant when it comes to explaining the sovereign bond…