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Code and data files for "Fiscal Policy and Default Risk in Emerging Markets"
TLDR
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
Citations
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Distributional Incentives in an Equilibrium Model of Domestic Sovereign Default
TL;DR: The authors proposed a theory of domestic sovereign default in which a government chooses debt and default optimally, responding to distributional incentives affecting the welfare of risk-averse agents who are split into debt holders and non-holders.
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Debt Dilution and Sovereign Default Risk
TL;DR: In this article, the authors measure the effects of debt dilution on sovereign default risk and show how these effects can be mitigated with debt contracts promising borrowing-contingent payments.
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A quantitative model of sovereign debt, bailouts and conditionality
Fabian Fink,Almuth Scholl +1 more
TL;DR: In this paper, a model of sovereign debt and default with endogenous participation rates in bailout programs was developed, where conditionality was introduced as a constraint on fiscal policy, and the authors showed that increasing the intensity of conditionality lowers the bailout participation rate and generates a hump-shaped pattern of sovereign default risk.
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Repatriation of Debt in the Euro Crisis: Evidence for the Secondary Market Theory
TL;DR: In this paper, the authors investigate the empirical patterns in light of competing theories of cross-border portfolio allocation and argue that the second and the third patterns constitute evidence in favor of the secondary market theory of sovereign debt.
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Fiscal austerity during debt crises
Cristina Arellano,Yan Bai +1 more
TL;DR: The authors constructs a dynamic model in which fiscal restrictions interact with government borrowing and default, and finds that the model can predict the recent default, but that increasing taxes would not have prevented it.
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.
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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.
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.