| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22125 |
| 来源ID | Working Paper 22125 |
| Quantitative Models of Sovereign Debt Crises | |
| Mark Aguiar; Satyajit Chatterjee; Harold Cole; Zachary Stangebye | |
| 发表日期 | 2016-04-04 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | This chapter is on quantitative models of sovereign debt crises in emerging economies. We interpret debt crises broadly to cover all of the major problems a country can experience while trying to issue new debt, including default, sharp increases in the spread and failed auctions. We examine the spreads on sovereign debt of 20 emerging market economies since 1993 and document the extent to which fluctuations in spreads are driven by country-specific fundamentals, common latent factors and observed global factors. Our findings motivate quantitative models of debt and default with the following features: (i) trend stationary or stochastic growth, (ii) risk averse competitive lenders, (iii) a strategic repayment/borrowing decision, (iv) multi-period debt, (v) a default penalty that includes both a reputation loss and a physical output loss and (vi) rollover defaults. For the quantitative evaluation of the model, we focus on Mexico and carefully discuss the successes and weaknesses of various versions of the model. We close with some thoughts on useful directions for future research. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Fiscal Policy ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w22125 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579799 |
| 推荐引用方式 GB/T 7714 | Mark Aguiar,Satyajit Chatterjee,Harold Cole,et al. Quantitative Models of Sovereign Debt Crises. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22125.pdf（785KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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