Dear all,

Our next seminar speaker at CEU is Josef Zechner (WU).

Seminar title:  Local Currency Debt and Sovereign Rollover Risk (joint with Jaewon Choi, Sebastiao Olivera and Jay Rafi).

Abstract: Using granular bond-level data on emerging-market sovereign debt, we construct country-specific maturity structures and document three novel stylized facts: (1) a negative relationship between average maturity and the share of local currency debt; (2) sustained declines in average local-currency debt maturity; and (3) increases in rollover requirements with substantial cross-country and time variation. We show that the effects of exogenous shocks to capital outflows on rollover risk are substantially amplified in countries with larger shares of short-term local-currency debt, as reflected in sharper increases in exchange rates, bond yields, and CDS spreads. Our results underscore the lasting effects of the "original sin."

You are all cordially invited to his in-person seminar. 

March 18, Wednesday, 11.15am – 12.30pm, QS B-505, at CEU (51 Quellenstrasse, 1100 Vienna)

Registration, till 12pm, the day before the seminar, is required at: https://forms.office.com/pages/responsepage.aspx?id=E1nE2VN24kuSC72wOGOBhDPxLiYqs2FKjgPAVi1DSIpUQUtVN1BQTkxRR0FTQTBESDBBSU1DSDRNUS4u&route=shorturl

 

With questions, please contact the CEU seminar organizer, Timea L. Molnar, at molnartl@ceu.edu.