Learning about Debt Crises

• 成果类型: Article
• 署名作者: Paluszynski, Radoslaw
• 署名单位: University of Houston System; University of Houston
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20190189
• 发表日期: 2023
• 页码: 106-134
• 关键词: linear-models; sovereign; fluctuations; RISK

摘要

The European debt crisis presents a challenge to our understanding of the relationship between government bond yields and economic fundamentals. I argue that information frictions are an important missing element and support that claim with evidence on the evolution of GDP forecast errors after 2008. I build a quantitative model of sovereign default where output features rare disasters and agents learn about their realizations. Debt crises coincide with economic depressions and develop gradually while markets update their expectations about future income. Calibrated to the Portuguese economy, the model replicates the comovement of bond spreads and output before and after 2008. (JEL E23, E27, E32, E43, F34, H63)