HETEROGENEOUS BORROWERS IN QUANTITATIVE MODELS OF SOVEREIGN DEFAULT

• 成果类型: Article
• 署名作者: Hatchondo, Juan Carlos; Martinez, Leonardo; Sapriza, Horacio
• 署名单位: International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - Richmond; Rutgers University System; Rutgers University New Brunswick
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2009.00562.x
• 发表日期: 2009
• 页码: 1129-1151
• 关键词: Consumer bankruptcy; business cycles; interest-rates; debt; RISK; uncertainty; countries; credit; crises

摘要

We extend the model used in recent quantitative studies of sovereign default, allowing policymakers of different types to stochastically alternate in power. We show that a default episode may be triggered by a change in the type of policymaker in office, and that such a default is likely to occur only if there is enough political stability and if policymakers encounter poor economic conditions. Under high political stability, political turnover enables the model to generate a weaker correlation between economic conditions and default decisions, a higher and more volatile spread, and lower borrowing levels after a default episode.