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Code and data files for "Fiscal Policy and Default Risk in Emerging Markets"
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In this article, all Matlab and C++ programs necessary to produce the results of the article were described and a spreadsheet with Mexican data was also provided, along with a spreadsheet containing Mexican data.Abstract:
All Matlab and C++ programs necessary to produce the results of the article. There is also a Excel spreadsheet with Mexican data.read more
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Dissertation
Essais sur le risque de défaut souverain dans les pays émergents.
TL;DR: In this article, the authors present a survey of the state-of-the-art determinants of the risk of defaut souverain of a sovereign CDS spread and Emerging Market Bond Index Plus (EMBI+).
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Inequality, fiscal policy, and business cycle anomalies in emerging markets
Amanda M. Michaud,Jacek Rothert +1 more
TL;DR: The authors showed that government expenditures are procyclical in emerging markets and countercyclically in developed economies and this pattern is driven by differences in social transfers: transfers are more countercyclical and make up a larger portion of spending in developing economies.
Journal ArticleDOI
The Aggregate-Demand Doom Loop: Precautionary Motives and the Welfare Costs of Sovereign Risk
TL;DR: In this article, a model of sovereign debt that rationalizes large contractions in economic activity via an aggregate demand amplification mechanism is proposed, which sheds new light on the response of consumption to sovereign risk, which they document in the context of the Eurozone crisis.
Fiscal Policy, Default and Emerging Market Business Cycles
TL;DR: Parmaksiz et al. as mentioned in this paper studied the role of non-state contingent defaultable debt as the only tradable asset for the sovereign government and financial frictions on private sector to identify the contribution of market incompleteness due to the commitment problem of the sovereign.
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Sovereign default risk and debt limits: Case of Slovakia
Zuzana Mucka,Ludovit Odor +1 more
TL;DR: In this article, the authors use a sovereign default model developed by Hatchondo et al. to study the implications of adopting constitutional debt limits and find that for a benevolent government issuing long-term debt, it is welfare-enhancing to introduce credible fiscal rules to mitigate the so-called "debt dilution" problem.
References
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On the Determination of the Public Debt
TL;DR: In this paper, a public debt theory is constructed in which the Ricardian invariance theorem is valid as a first-order proposition but where the dependence excess burden on the timing of taxation implies an optimal time path of debt issue.
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Debt with Potential Repudiation: Theoretical and Empirical Analysis
Jonathan Eaton,Mark Gersovitz +1 more
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The Voracity Effect
Aaron Tornell,Philip R. Lane +1 more
TL;DR: In this paper, the authors analyze an economy that lacks a strong legal-political institutional infrastructure and is populated by multiple powerful groups, and they show that a dilution in the concentration of power leads to faster growth and a less procyclical response to shocks.
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The risk-free rate in heterogeneous-agent incomplete-insurance economies
TL;DR: In this paper, the authors construct an economy where agents experience uninsurable idiosyncratic endowment shocks and smooth consumption by holding a risk-free asset, and calibrate the economy and characterize equilibria computationally.
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Business Cycles in Emerging Economies:The Role of Interest Rates
TL;DR: In this paper, the empirical relation between the interest rates that emerging economies face in international capital markets and their business cycles was investigated, showing that interest rate shocks alone can explain 50% of output fluctuations and can generate business cycle patterns consistent with the regularities described above and with the major booms and recessions in Argentina in the last two decades.