Open AccessPosted Content
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
More filters
Journal ArticleDOI
A General Equilibrium Model of Sovereign Default and Business Cycles
Enrique G. Mendoza,Vivian Z. Yue +1 more
TL;DR: In this paper, a general equilibrium model of both sovereign default and business cycles is proposed, which explains several features of cyclical dynamics around deraults, countercyclical spreads, high debt ratios and key business cycle moments.
Journal ArticleDOI
How is Tax Policy Conducted over the Business Cycle
Carlos A. Vegh,Guillermo Vuletin +1 more
TL;DR: In this article, the authors build a dataset on tax rates for 62 countries for the period 1960-2013 that comprises corporate income, personal income, and value-added tax rates and find that tax policy is a cyclical in industrial countries but mostly procyclical in developing countries.
Journal ArticleDOI
Heterogeneous borrowers in quantitative models of sovereign default
TL;DR: In this article, the authors extend the model used in recent quantitative studies of sovereign default, allowing policymakers of different types to stochastically alternate in power, and show that a default episode may be triggered by a change in the type of policymaker in office, and that such a default is likely to occur only if there is enough political stability and if policymakers encounter poor economic conditions.
Book ChapterDOI
What is a Sustainable Public Debt
TL;DR: In this article, the authors identify critical flaws in the traditional approach to evaluate debt sustainability, and examine three alternative approaches that provide useful econometric and model-simulation tools to analyze debt sustainability.
Journal ArticleDOI
Quantitative Properties of Sovereign Default Models: Solution Methods Matter
TL;DR: In this paper, the authors study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies and show that this method necessitates a large number of grid points to avoid generating spurious interestrate movements.
References
More filters
Posted Content
Addicted to Dollars
TL;DR: This article proposed a measure of dollarization that is broad both conceptually and in terms of country coverage, and used this measure to identify trends in the evolution of dollarisation in the developing world in the last two decades, and to ascertain the consequences that dollarization has had on the effectiveness of monetary and exchange rate policy.
Posted Content
Segmented Asset Markets and Optimal Exchange Rate Regimes
TL;DR: In this article, the optimal exchange rate regime in a flexible price environment is investigated in the context of asset market transactions, and it is shown that flexible exchange rates are optimal under monetary shocks and fixed exchange rate is optimal under real shocks.
Journal ArticleDOI
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.
ReportDOI
A Solution to the Disconnect between Country Risk and Business Cycle Theories
TL;DR: This paper proposed a model that solves the crucial disconnect between business cycle models that treat default risk as an exogenous interest rate on working capital, and sovereign default models that treats output fluctuations as an external process with ad-hoc default costs.
Journal ArticleDOI
Repatriation of debt in the euro crisis
Filippo Brutti,Philip Sauré +1 more
TL;DR: In this article, the authors use data on bank portfolios to document three new empirical regularities of the financial disintegration: (i) repatriation affected mainly debt of crisis countries; (ii) return of debt affected mainly public debt; and (iii) the public debt of countries that was not repatriated was not returned to large and politically influential countries within the Euro area.