The Costs of Sovereign Default: Evidence from Argentina

Benjamin Hebert and Jesse Schreger

Working Paper from Harvard University OpenScholar

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. Using a Rigobon (2003) heteroskedasticity-based identification strategy, we find that a 1% increase in the probability of default causes a 0.55% decline in the value of Argentine equities. We construct tracking portfolios for the present value of output growth, and estimate that the entire default episode caused a reduction in this measure of between 2.4% and 6%.

Date: 2014-12
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http://scholar.harvard.edu/schreger/node/223706

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 (2016)
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2015)
Working Paper: The Costs of Sovereign Default: Evidence from Argentina (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:qsh:wpaper:223706

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