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来源类型Working Paper
规范类型报告
DOI10.3386/w22125
来源IDWorking 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
URLhttps://www.nber.org/papers/w22125
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/579799
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GB/T 7714
Mark Aguiar,Satyajit Chatterjee,Harold Cole,et al. Quantitative Models of Sovereign Debt Crises. 2016.
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