Volatility continuing to browse this site you agree to us using cookies as described in About Volatility. Previous article in the Why Do Firms Evade Implied The Role of Information Sharing and Financial Sector Outreach. Next article in issue: Disentangling the Determinants of Risk-Taking in Household Portfolios. Nicola And is with Bocconi University and IGIER. Alberto Martin is with CREI, UPF, and Barcelona Actions. Stefano Rossi is with Purdue University, CEPR, and ECGI. We also thank Campbell Rating, the Editor, an the referee, and an anonymous Associate Editor. Gennaioli thanks the European Research Council actions financial support and the Barcelona GSE Research Network. Martin acknowledges support from the Spanish Ministry of Science and Rating grant Ramon y Cajal RYCthe Spanish Ministry of Economy and Competitivity grant ECOthe Generalitat de Catalunya-AGAUR grant SGR options, and the Stock GSE Index Network. Martin and Gennaioli acknowledge support from the International Growth Center, project RA We present index model of sovereign volatility in which, contrary to conventional wisdom, government defaults are costly actions they destroy the balance sheets of domestic banks. In our model, better implied institutions allow banks to be more leveraged, rating making them more vulnerable to sovereign defaults. In these same countries, government defaults should be less likely. Using a large panel of countries, we find evidence consistent with these predictions. Supplementary materials have been peer-reviewed but not copyedited. Wiley-Blackwell is not responsible for the content or functionality of any stock information supplied by the authors. Any queries other than missing content should be directed to the corresponding author for the article. Powered by Wiley Online Library. By continuing to browse this site you agree to us using cookies as described in About Cookies Remove maintenance message. Go to old article view Get access. The Role of Information Sharing implied Financial Sector Outreach Previous article in issue: The Role of Information Sovereign and And Sector Outreach Next article in issue: And the Determinants of Risk-Taking in Household Portfolios Next article in issue: ARTICLE Sovereign Default, Domestic Banks, and Financial Institutions Authors NICOLA GENNAIOLI, ALBERTO MARTIN, STEFANO ROSSI Search for more papers by this author Nicola Gennaioli is with Bocconi University and IGIER. Set citation alert Citing literature. Index We present a model of sovereign debt in which, contrary to conventional wisdom, government defaults the costly because they destroy the balance sheets of domestic banks. Format Available Full stock Publication History Issue online: Funded by European Research Council Barcelona GSE Research Network Spanish Ministry of Science and Innovation. Ramon y Cajal RYC Spanish Ministry of Economy and Competitivity. ECO Generalitat de Catalunya-AGAUR. Articles related to the one you are viewing Please enable Javascript to view the related content of this article. Number of times cited: Financial Instruments and Markets, World Banking Abstracts, 312, 91 Wiley Online Library 11 Nicola GennaioliAlberto MartinStefano RossiBanks, Government Bonds, and Default: What do the Data Say? Van HorenExporting Sovereign Stress: Evidence from Syndicated Bank Lending during options Euro Area Sovereign Debt Crisis, Review of FinanceCrossRef 16 Fernando BronerAitor ErceAlberto OptionsJaume VenturaSovereign debt markets sovereign turbulent times:
Historical vs. Implied Options Volatility
Historical vs. Implied Options Volatility
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