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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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Essays in sovereign default and international financial liberalization
TL;DR: Mousa et al. as mentioned in this paper developed a dynamic stochastic open economy model where default occurs in equilibrium to study the welfare impact of abandoning a fixed exchange rate regime before a sovereign default crisis.
Journal ArticleDOI
On Sovereign Credit Ratings and Pro-Cyclical Fiscal Policy
TL;DR: In this paper, a non-monotonic relation between the procyclicality of government consumption and sovereign risk scores has been found for 93 countries and for more than 30 years, panel data econometric analyses show that vulnerable countries are more constrained in borrowing during economic downturns and must reinforce fiscal disciplines to repay debts in recessions.
Journal ArticleDOI
External Factors in Debt Sustainability Analysis: An Application to Latin America?
Gustavo Adler,Sebastian Sosa +1 more
TL;DR: This paper developed a framework for debt sustainability analysis that integrates econometric estimates of the effect of global factors on a set of key domestic variables that determines public and external debt dynamics in Latin America.
Journal ArticleDOI
On the role of financial aid in a default episode
TL;DR: The authors developed a dynamic stochastic quantitative model of sovereign default featuring fiscal policy, endogenous financial aid and risk-averse foreign lenders, and fed output shocks into the model to show that it captures some of the most salient features of the fiscal and debt situation in Argentina during the 1998-2002 crisis.
Journal ArticleDOI
Fundamentos macroeconómicos y la Gran Moderación en América Latina
TL;DR: The authors analyzes the macroeconomic behavior of Latin American countries between 1970-2010, focusing on 14 macroeconomic variables in 17 countries and shows that factors common to all of them, in the form of positive symmetrical external shocks or similar strategies regarding fiscal policies and structural and institutional reforms of similar nature, are in fact the principle determinants of this macroeconomic convergence.