EconPapers    
Economics at your fingertips  
 

The Costs of Sovereign Default: Evidence from Argentina

Benjamin Hebert and Jesse Schreger
Additional contact information
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
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.gsb.stanford.edu/gsb-cmis/gsb-cmis-download-auth/422936
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.gsb.stanford.edu/gsb-cmis/gsb-cmis-download-auth/422936 [301 Moved Permanently]--> https://www.gsb.stanford.edu/gsb-cmis/gsb-cmis-download-auth/422936)

Related works:
Journal Article: The Costs of Sovereign Default: Evidence from Argentina (2017) Downloads
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2016) Downloads
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2014) Downloads
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecl:stabus:3456

Access Statistics for this paper

More papers in Research Papers from Stanford University, Graduate School of Business Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2025-02-17
Handle: RePEc:ecl:stabus:3456