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64 records from EconBiz based on author Name
1. Selective default expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim;2024
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 2. Selective default expectations
abstractThis paper explores how selective default expectations affect the pricing of sovereign bonds in a historical laboratory: the German default of the 1930s. We analyze yield differentials between identical government bonds traded across various creditor countries before and after bond market segmentation. We show that, when secondary debt markets are segmented, a large selective default probability can be priced in bond yield spreads. Selective default risk accounted for one third of the yield spread of German external bonds over the risk-free rate during the 1930s. Selective default expectations arose from differences in the creditor countries' economic power over the debtor.
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim;2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link 3. Selective Default Expectations
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim;2023
Type: Working Paper;
Availability:
4. Intermediaries' substitutability and financial network resilience : a hyperstructure approach
Accominotti, Olivier; Lucena-Piquero, Delio; Ugolini, Stefano;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
5. Sovereign defaults and international trade : Germany and its creditors in the 1930s
Accominotti, Olivier; Albers, Thilo N. H.; Keßler, Philipp; Oosterlinck, Kim;2023
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link 6. Sovereign defaults and international trade : Germany and its creditors in the 1930s
Accominotti, Olivier; Albers, Thilo N. H.; Keßler, Philipp; Oosterlinck, Kim;2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link
7. Intermediaries’ Substitutability and Financial Network Resilience : A Hyperstructure Approach
abstractWe propose a new methodology to assess intermediaries’ substitutability in financial networks featuring higher-order structures (credit intermediation chains). We represent the financial network as a hyperstructure and each credit intermediation chain as a hyperedge. This approach allows us to assess how the failure of intermediaries affects network connectivity. We apply this methodology to a unique dataset documenting the structure of the international, sterling money market at the heyday of the first globalization era (1880-1913). Our results reveal that the failure of individual money market actors could only cause limited damage to the network as intermediaries were highly substitutable. These findings suggest that an international financial network without highly systemic nodes can emerge even at a time of global economic integration
Accominotti, Olivier; Lucena Piquero, Delio; Ugolini, Stefano;2022
Availability: Link Link
8. Intermediaries’ Substitutability and Financial Network Resilience : A Hyperstructure Approach
abstractWe propose a new methodology to assess intermediaries’ substitutability in financial networks featuring higher-order structures (credit intermediation chains). We represent the financial network as a hyperstructure and each credit intermediation chain as a hyperedge. This approach allows us to assess how the failure of intermediaries affects network connectivity. We apply this methodology to a unique dataset documenting the structure of the international, sterling money market at the heyday of the first globalization era (1880-1913). Our results reveal that the failure of individual money market actors could only cause limited damage to the network as intermediaries were highly substitutable. These findings suggest that an international financial network without highly systemic nodes can emerge even at a time of global economic integration
Accominotti, Olivier; Lucena, Delio; Ugolini, Stefano;2022
Availability: Link Link
9. Intermediaries' substitutability and financial network resilience: a hyperstructure approach
Accominotti, Olivier; Lucena, Delio; Ugolini, Stefano;2022
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link
10. Selective Default Expectations
abstractSovereign governments often discriminate between creditors during debt default episodes. This paper explores how expectations of selective default affect sovereign bond trading and sovereign risk premia based on a historical laboratory: the German external default of the 1930s. We exploit a unique feature of the interwar sovereign bond market: identical German government bonds were traded on different creditor countries’ secondary debt markets but investors expected creditors from various countries to be treated differently in case of default. We show that, when creditor countries’ secondary debt markets are integrated, selective default expectations are not reflected in bond yields but affect the volume of bonds traded across markets. By contrast, when creditors’ debt markets are geographically segmented, a large selective risk premium can be priced in sovereign bonds. This premium accounted for up to half of the total risk premium on German external bonds during the 1930s. We establish that creditor countries’ seniority ranks can be explained by their economic power over the debtor government
Accominotti, Olivier; Albers, Thilo N. H.; Oosterlinck, Kim;2021
Availability: Link Link