H
Horacio Sapriza
Researcher at Federal Reserve System
Publications - 81
Citations - 2717
Horacio Sapriza is an academic researcher from Federal Reserve System. The author has contributed to research in topics: Sovereign default & Debt. The author has an hindex of 24, co-authored 76 publications receiving 2440 citations. Previous affiliations of Horacio Sapriza include Rutgers University & Federal Reserve Board of Governors.
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Sovereign Debt Restructurings
TL;DR: The authors developed a model of endogenous debt restructuring that captures key facts of sovereign debt and restructuring episodes, and employed dynamic discrete choice methods that allow for smoother decision rules, rendering the problem tractable.
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Direct and Spillover Effects of Unconventional Monetary and Exchange Rate Policies
TL;DR: This paper explored the direct effects and spillovers of unconventional monetary and exchange rate policies and found that official purchases of foreign assets have a large positive effect on a country's current account that diminishes considerably as capital mobility rises.
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Liquidity shocks, dollar funding costs, and the bank lending channel during the European sovereign crisis
TL;DR: In this article, a new type of cross-border bank lending channel is described, where the U.S. branches of European banks faced a dollar liquidity shock due to their perceived risk reflecting the sovereign risk of their countries of origin.
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Quantitative properties of sovereign default models: Solution methods matter
TL;DR: In this paper, the authors study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies and find that the efficiency of the discrete state space technique can be greatly improved by finding the equilibrium as the limit of the equilibrium of the finite-horizon version of the model.
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Sovereign default and maturity choice
TL;DR: This paper developed a model of endogenous sovereign debt maturity that rationalizes various stylized facts about debt maturity and the yield spread curve: first, sovereign debt duration and maturity generally exceed one year, and co-move positively with the business cycle.