| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24981 |
| 来源ID | Working Paper 24981 |
| Quantitative Sovereign Default Models and the European Debt Crisis | |
| Luigi Bocola; Gideon Bornstein; Alessandro Dovis | |
| 发表日期 | 2018-09-03 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | A large literature has developed quantitative versions of the Eaton and Gersovitz (1981) model to analyze default episodes on external debt. In this paper, we study whether the same framework can be applied to the analysis of debt crises in which domestic public debt plays a prominent role. We consider a model where a government can issue debt to both domestic and foreign investors, and we derive conditions under which their sum is the relevant state variable for default incentives. We then apply our framework to the European debt crisis. We show that matching the cyclicality of public debt ---rather than that of external debt--- allows the model to better capture the empirical distribution of interest rate spreads and gives rise to more realistic crises dynamics. |
| 主题 | Macroeconomics ; Money and Interest Rates ; International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w24981 |
| 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/582655 |
| 推荐引用方式 GB/T 7714 | Luigi Bocola,Gideon Bornstein,Alessandro Dovis. Quantitative Sovereign Default Models and the European Debt Crisis. 2018. |
| 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 | ||
| w24981.pdf（302KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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