Arbeitspapier
Do countries default in bad times? The role of alternative detrending techniques
Quantitative models of sovereign debt predict that countries should default during deep recessions. However, empirical research on sovereign debt has found a surprisingly large share of "good times" defaults (i.e., defaults that happen when GDP is above trend). Existing evidence also indicates that, on average, defaults happen when output is close to potential. This paper reassesses the empirical evidence and shows that the detrending technique proposed by Hamilton (2018) yields results that are closer to the predictions of standard quantitative models of sovereign debt.
- Language
-
Englisch
- Bibliographic citation
-
Series: Graduate Institute of International and Development Studies Working Paper ; No. HEIDWP06-2022
- Classification
-
Wirtschaft
International Lending and Debt Problems
Current Account Adjustment; Short-term Capital Movements
National Debt; Debt Management; Sovereign Debt
- Subject
-
Sovereign Debt
Default
Business Cycles
- Event
-
Geistige Schöpfung
- (who)
-
Panizza, Ugo
- Event
-
Veröffentlichung
- (who)
-
Graduate Institute of International and Development Studies
- (where)
-
Geneva
- (when)
-
2022
- Handle
- Last update
-
20.09.2024, 8:22 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Panizza, Ugo
- Graduate Institute of International and Development Studies
Time of origin
- 2022
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