Rules of thumb for sovereign debt crises

• 成果类型: Article
• 署名作者: Manasse, Paolo; Roubini, Nouriel
• 署名单位: University of Bologna; New York University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2008.12.002
• 发表日期: 2009
• 页码: 192-205
• 关键词: sovereign debt; crises; default

摘要

This paper investigates the economic and political conditions that are associated to the occurrence of a sovereign debt crisis. We use a new statistical approach (Classification and Regression Tree) that allows us to derive a collection of rules of thumb that help identify the typical characteristics of defaulters. We find that not all crises are equal: they differ depending on whether the government faces insolvency, illiquidity or various macroeconomic risks. We also characterize the set of fundamentals that can be associated with a relatively risk-free zone. This classification is important for discussing appropriate policy options to prevent crises and improve response time and prediction. (C) 2009 Elsevier B.V. All rights reserved.