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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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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
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Journal ArticleDOI
Fiscal Rules and the Sovereign Default Premium
TL;DR: In this article, the authors find optimal fiscal rule parameter values and measure the effects of imposing fiscal rules using a default model calibrated to an economy that in the absence of a fiscal rule pays a significant sovereign default premium, and also study the case in which the government conducts a voluntary debt restructuring to capture the capital gains from the increase in its debt market value implied by a rule announcement.
Journal ArticleDOI
Commodity price risk management and fiscal policy in a sovereign default model
TL;DR: In this paper, a dynamic stochastic small-open-economy model of sovereign default is presented, featuring endogenous fiscal policy and commodity revenues, and the model accounts for a positive correlation of commodity revenues with government expenditures and a negative correlation with tax rates.
Dissertation
Gouvernance à la BCEAO et à la BEAC : expériences monétaires en zone franc africaine
TL;DR: The role essentiel des Conseils de politique monetaire (CPMs) is discussed in this article, which is a cadre institutionnel qui reflete la gouvernance montre uneBanque centrale non pas separee du politique mais plutot en relation with celui-ci.
Quantitative Properties of Sovereign Default Models : Solution Methods Matter, Working Paper 10-04
TL;DR: In this article, 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 interest rate movements.
Journal ArticleDOI
Sovereign default risk and commitment for fiscal adjustment
TL;DR: In this article, a model of sovereign debt and default is studied, where the price of past debt cannot be affected by current fiscal policy and governments cannot credibly commit to a certain path of tax rates, debtor countries choose suboptimally low fiscal adjustments.