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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
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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Dealing with the dutch disease : fiscal rules and macro-prudential policies
TL;DR: In this paper, the authors evaluate from a welfare perspective three policy alternatives for dealing with Dutch disease problems originating from cyclical movements in commodity prices: fiscal rules for government expenditures, capital controls, and taxes on domestic lending.
Journal ArticleDOI
Creditworthiness and access to finance of SMEs in Malaysia: do linkages with large firms matter?
TL;DR: In this paper, the influence of inter-firm linkages between SMEs and large firms on the relationship between an SME's creditworthiness and its access to finance was investigated using Partial Least Squares-Multi Group Analysis (PLS-MGA).
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Risk analysis and portfolio modelling
David E. Allen,Elisa Luciano +1 more
TL;DR: The authors collected a number of novel contributions for the measurement of financial risk, which addressed partially explored risks or risk takers in a wide variety of empirical contexts, and discussed the types of risk and their measurement techniques evolve quickly.
Posted Content
Sovereign Debt Overhang, Expenditure Composition and Debt Restructurings
Tamon Asonuma,Hyungseok Joo +1 more
TL;DR: In this article, the authors developed a theoretical model of defaultable debt that embeds endogenous public capital accumulation, expenditure composition, production and multi-round debt renegotiations, and quantitatively showed severe decline and slow recovery in public investment -sovereign debt overhang) delay debt settlement.
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Collateral, liquidity and debt sustainability
Stefan Niemann,Paul Pichler +1 more
TL;DR: In this article, the authors study the sustainability of public debt in a closed production economy where a benevolent government chooses fiscal policies, including haircuts on its outstanding debt, in a discretionary manner, and characterize a recursive equilibrium where public debt amounts to a sizeable fraction of output in steady state and is nevertheless fully serviced by the government.