| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17216 |
| DP17216 Do Countries Default in Bad Times? The Role of Alternative Detrending Techniques | |
| Ugo Panizza | |
| 发表日期 | 2022-04-13 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | Quantitative models of sovereign debt predict that countries should default during deep recessions. However, empirical research on sovereign debt has found a surprisingly large share of \good times" defaults (i.e., defaults that happen when GDP is above trend). Existing evidence also indicates that, on average, defaults happen when output is close to potential. This paper reassesses the empirical evidence and shows that the detrending technique proposed by Hamilton (2018) yields results that are closer to the predictions of standard quantitative models of sovereign debt. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Sovereign debt Default business cycles |
| URL | https://cepr.org/publications/dp17216 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546215 |
| 推荐引用方式 GB/T 7714 | Ugo Panizza. DP17216 Do Countries Default in Bad Times? The Role of Alternative Detrending Techniques. 2022. |
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