Self-Fulfilling Debt Crises with Long Stagnations

• 成果类型: Article; Early Access
• 署名作者: Ayres, Joao; Navarro, Gaston; Nicolini, Juan Pablo; Teles, Pedro
• 署名单位: Inter-American Development Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Universidad Torcuato Di Tella; Banco de Portugal; Universidade Catolica Portuguesa; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/738143
• 发表日期: 2025
• 关键词: Sovereign default; models

摘要

We assess the quantitative relevance of expectations-driven sovereign debt crises, focusing on the southern European crisis of the early 2010s and the Argentine default of 2001. The source of multiplicity is the one proposed by Calvo. Crucial for multiplicity is an output process characterized by long periods of either high growth or stagnation, which we estimate using data for these countries. Our analysis suggests that expectations-driven debt crises are quantitatively relevant but state dependent, as they occur only during periods of stagnation. Expectations and how they respond to policy are the major factors explaining default rates and credit spread differences between Spain and Argentina.