Replication data for: Maturity, Indebtedness, and Default Risk
Principal Investigator(s): View help for Principal Investigator(s) Satyajit Chatterjee; Burcu Eyigungor
Version: View help for Version V1
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Data_and_Codes | 10/11/2019 05:56:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/11/2019 01:56:PM |
Project Citation:
Chatterjee, Satyajit, and Eyigungor, Burcu. Replication data for: Maturity, Indebtedness, and Default Risk. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112556V1
Project Description
Summary:
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We advance quantitative-theoretic models of sovereign debt by proving
the existence of a downward sloping equilibrium price function for long-term debt and implementing a novel method to accurately compute it. We show that incorporating long-term debt allows the model to match Argentina's average external debt-to-output ratio,
average spread on external debt, the standard deviation of spreads, and simultaneously improve upon the model's ability to account for Argentina's other cyclical facts. We also investigated the welfare properties of maturity length and showed that if the possibility of self-fulfilling rollover crises is taken into account, long-term debt is superior to short-term debt. (JEL E23, E32, F34, O11, O19)
Scope of Project
JEL Classification:
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E23 Macroeconomics: Production
E32 Business Fluctuations; Cycles
F34 International Lending and Debt Problems
O11 Macroeconomic Analyses of Economic Development
O19 International Linkages to Development; Role of International Organizations
E23 Macroeconomics: Production
E32 Business Fluctuations; Cycles
F34 International Lending and Debt Problems
O11 Macroeconomic Analyses of Economic Development
O19 International Linkages to Development; Role of International Organizations
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