The Costs of Sovereign Default: Evidence from Argentina
Benjamin Hebert and
Jesse Schreger
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Jesse Schreger: Harvard University
Research Papers from Stanford University, Graduate School of Business
Abstract:
We estimate the causal effect of sovereign default on the equity returns of Argentine firms. We identify this effect by exploiting changes in the probability of Argentine sovereign default induced by legal rulings in the case of Republic of Argentina v. NML Capital. We find that a 10% increase in the probability of default causes a 6% decline in the value of Argentine equities and a 1% depreciation of a measure of the exchange rate. We examine the channels through which a sovereign default may affect the economy.
Date: 2016-05
New Economics Papers: this item is included in nep-lam
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Related works:
Journal Article: The Costs of Sovereign Default: Evidence from Argentina (2017) 
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2016) 
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2014) 
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2014) 
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Persistent link: https://EconPapers.repec.org/RePEc:ecl:stabus:3456
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