The productivity cost of sovereign default: evidence from the European debt crisis

被引：3

作者：

Alonso-Ortiz, Jorge ^{[1
]}

Colla, Esteban ^{[2
]}

Da-Rocha, Jose-Maria ^{[3
]}

机构：

[1] ITAM, CIE, Mexico City, DF, Mexico

[2] Univ Panamer, Escuela Gobierno & Polit Publ, Mexico City, DF, Mexico

[3] Univ Vigo, EUEE, Vigo, Galicia, Spain

来源：

ECONOMIC THEORY | 2017年 / 64卷 / 04期

关键词：

Default; Sovereign debt; Financial markets; Productivity; GENERAL EQUILIBRIUM; MODEL;

D O I：

10.1007/s00199-015-0939-y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We calibrate the cost of sovereign defaults using a continuous time model, where government default decisions may trigger a change in the regime of a stochastic TFP process. We calibrate the model to a sample of European countries from 2009 to 2012. By comparing the estimated drift in default relative to that in no-default, we find that TFP falls in the range of 3.70-5.88 %. The model is consistent with observed falls in GDP growth rates and subsequent recoveries and illustrates why fiscal multipliers are small during sovereign debt crises.

引用

页码：611 / 633

页数：23

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