Horacio Sapriza

TL;DR: In this article, the authors studied the impact of sovereign debt rating changes on stock liquidity for stocks from 40 countries for the period 1990-2009 and found that sovereign rating changes significantly affect stock liquidity.

TL;DR: In this article, the authors evaluate the accuracy of the baseline sovereign default model using the test proposed by den Haan and Marcet (1994) and show that the solutions obtained using Chebyshev collocation and cubic spline interpolation approximate the equilibrium with reasonable accuracy and illustrate the challenges that arise when the test is applied to the solution obtained using the discrete state space technique.

TL;DR: This article used tree-based methods to estimate probabilities of default for publicly traded non-financial firms in the United States and then used the cross-section of out-of-sample predicted default probabilities to construct a leading indicator of nonfinancial corporate health.

TL;DR: In this article, a quantitative model of endogenous sovereign debt maturity choice and restructuring is developed to rationalize the debt dynamics observed around distressed debt restructurings, which smooths the borrower's decision rules on default and debt portfolio choices, rendering the problem tractable.

TL;DR: In this article , the authors evaluate policy proposals in a quantitative sovereign default model that incorporates two essential features of debt: maturity choice and debt renegotiation in default, and find that a rule that tilts the distribution of creditor losses during restructurings toward holders of long-maturity bonds reduces short-term yield spreads, lowering the probability of a sovereign default by 25 percent.