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
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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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Posted Content
Labor Market Distortions under Sovereign Default Crises
TL;DR: In this article, the authors propose and evaluate two different explanations for these movements by linking the wedges to changes in labor taxes and in the cost of working capital and show that a labor wedge deteriorates substantially around swift reversals of current accounts or default episodes.
Journal ArticleDOI
Sovereign Default Risk, Fiscal Adjustment, and Debt Renegotiation
TL;DR: In this article, the effects of government capital accumulation on sovereign debt default risk and debt restructuring renegotiation outcomes when government has limited ability to extract revenues from households were studied, and the authors developed a quantitative dynamic stochastic general equilibrium model of sovereign default, debt renegotiation, and fiscal policies, where government chooses between the fiscal instruments of government consumption and government investment.
Posted Content
Imperfect Financial Markets and the Cyclicality of Social Spending
TL;DR: In this article, the authors develop a link between frictions in international financial markets and fiscal procyclicality, showing that the cyclical correlation of social spending exhibits the biggest differences across countries.
Posted Content
Inflation Targeting with Sovereign Default Risk
TL;DR: In this paper, the authors develop a framework that integrates inflation targeting monetary policy with sovereign default risk and identify important interactions, and show that this framework replicates the positive co-movements of sovereign interest rate spreads with domestic nominal rates and inflation.
Posted Content
Monetary and Fiscal Policy with Sovereign Default
TL;DR: In this article, the authors studied the effect of sovereign default on public policy and found that the welfare costs associated with the short-run effects of default are outweighed by the welfare gains due to lower average debt and inflation.