News and sovereign default risk in small open economies

被引：19

作者：

Durdu, C. Bora ^{[1
]}

Nunes, Ricardo ^{[1
]}

Sapriza, Horacio ^{[1
]}

机构：

[1] Fed Reserve Board, Washington, DC 20551 USA

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 2013年 / 91卷 / 01期

关键词：

Sovereign default risk; News shocks; Endogenous borrowing constraints; MARKET BUSINESS CYCLES; INTEREST-RATES; EMERGING ECONOMIES; DEBT; FLUCTUATIONS; COUNTRIES; TREND;

D O I：

10.1016/j.jinteco.2013.04.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper builds a unified model of sovereign debt, default risk, and news shocks. News shocks improve the quantitative performance of the sovereign default model in a number of empirically-relevant dimensions. First, with news shocks, not all defaults occur during downturns. Second, the news shocks help account for key differences between developing and more developed economies: as the precision of news improves, the model predicts lower variability of consumption, less countercyclical trade balance and interest rate spreads, as well as a higher level of debt in line with more developed economies. Third, the model captures the hump-shaped relationship between default rates and the precision of news obtained from the data. Finally, the news shocks have a nonmonotonic effect on welfare. Published by Elsevier B.V.

引用

页码：1 / 17

页数：17

共 38 条

[1] Defaultable debt, interest rates and the current account [J].