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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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An Analysis of the Functional Effectiveness of the Automatic Stabilisers of Fiscal Policy in China
Huachun Wang,Lu Zhao,Xuan Zhang +2 more
TL;DR: In this article, the authors employed Granger causality Wald test and impulse response analysis to test the functional effectiveness of automatic stabilisers of fiscal policy in China, which revealed that the automatic stabilizers exhibited asymmetries in fiscal revenues and expenditures.