Show simple item record

dc.contributor.author Ayres, João
dc.contributor.author Navarro, Gaston
dc.contributor.author Nicolini, Juan Pablo
dc.contributor.author Teles, Pedro
dc.date.accessioned 2016-09-15T13:16:43Z
dc.date.available 2016-09-15T13:16:43Z
dc.date.issued 2016-06
dc.identifier.uri http://hdl.handle.net/10230/27297
dc.description.abstract In the standard model of sovereign default, as in Aguiar and Gopinath (2006) or Arellano (2008), default is driven by fundamentals alone. There is no independent role for expectations. We show that small variations of that model are consistent with multiple interest rate equilibria. Some of those equilibria correspond to 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 crises. It is also used to discuss lending policies similar to the ones announced by the European Central Bank in 2012.
dc.description.sponsorship The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries ADEMU Working Paper Series;25
dc.rights This is an Open Access article distributed under the terms of the Creative Commons Attribution License Creative Commons Attribution 4.0 International, which permits unrestricted use, distribution and reproduction in any medium provided that the original work is properlyattributed.
dc.rights.uri https://creativecommons.org/licenses/by/4.0/
dc.title Sovereign default: the role of expectations
dc.type info:eu-repo/semantics/workingPaper
dc.subject.keyword Sovereign default
dc.subject.keyword Interest rate spreads
dc.subject.keyword Multiple equilibria
dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/649396
dc.rights.accessRights info:eu-repo/semantics/openAccess

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Search DSpace


Advanced Search

Browse

My Account

Statistics

In collaboration with Compliant to Partaking