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Sovereign Default: The Role of Expectations

Pedro Teles (), Juan Pablo Nicolini (), Gaston Navarro and Joao Ayres ()
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Gaston Navarro: New York University

No 1505, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: The standard model of sovereign default, as in Aguiar and Gopinath (2006) or Arellano (2008), is consistent with multiple equilibrium interest rates. Some of those equilibria resemble the ones identified by Calvo (1988) where default is likely because rates are high, and rates are high because default is likely. The model is used to simulate equilibrium movements in sovereign bond spreads that resemble sovereign debt crisis. It is also used to discuss lending policies similar to the ones announced by the European Central Bank in 2012.

New Economics Papers: this item is included in nep-cba and nep-dge
Date: 2015
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https://economicdynamics.org/meetpapers/2015/paper_1505.pdf (application/pdf)

Related works:
Journal Article: Sovereign default: The role of expectations (2018) Downloads
Working Paper: Sovereign Default: The Role of Expectations (2018) Downloads
Working Paper: Sovereign Default: The Role of Expectations (2015) Downloads
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