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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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Journal ArticleDOI
Sovereign Risk, Currency Risk, and Corporate Balance Sheets
TL;DR: In this paper, the authors examine the question of why a government would default on debt denominated in its own currency, using a newly constructed dataset of 14 emerging markets, and show that a higher reliance on external foreign currency corporate financing is associated with a higher default risk on sovereign debt.
Journal ArticleDOI
Sovereign Defaults and Banking Crises
TL;DR: In this paper, the authors extend the traditional sovereign default framework to incorporate bankers that lend to both the government and the corporate sector, and show that when these bankers are highly exposed to government debt, a default triggers a banking crisis which leads to a corporate credit collapse and subsequently to an output decline.
Journal ArticleDOI
A Solution to the Default Risk-Business Cycle Disconnect
TL;DR: In this paper, the authors propose a solution to this default risk-business cycle disconnect based on a model of sovereign default with endogenous output dynamics, which replicates observed V-shaped output dynamics around default episodes, countercyclical sovereign spreads, and high debt ratios.
Journal ArticleDOI
Debt Dilution and Sovereign Default Risk
TL;DR: In this paper, the authors measure the effects of debt dilution on sovereign default risk and study debt covenants that could mitigate these effects and find that dilution accounts for 78 percent of the default risk in the baseline economy and that eliminating dilution increases the optimal duration of sovereign debt.
Book ChapterDOI
Quantitative Models of Sovereign Debt Crises
TL;DR: In this paper, the authors examine the spread of sovereign debt in 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.
References
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Journal ArticleDOI
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.
Journal ArticleDOI
Debt with Potential Repudiation: Theoretical and Empirical Analysis
Jonathan Eaton,Mark Gersovitz +1 more
Journal ArticleDOI
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.
Journal ArticleDOI
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.
Posted Content
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.