Replication data for: Default Risk and Income Fluctuations in Emerging Economies

Principal Investigator(s):  View help for Principal Investigator(s) Cristina Arellano

Version:  View help for Version V1

Name File Type Size Last Modified
LICENSE.txt text/plain 14.6 KB 10/12/2019 04:23:AM
PIMAT.dat text/plain 6.9 KB 10/12/2019 04:23:AM
YMAT.dat text/plain 337 bytes 10/12/2019 04:23:AM
datgrid.mat application/octet-stream 207 bytes 10/12/2019 04:23:AM
default_data.xls application/vnd.ms-excel 29 KB 10/12/2019 04:23:AM
global.f90 text/plain 405 bytes 10/12/2019 04:23:AM
main.f90 text/plain 6.4 KB 10/12/2019 04:23:AM
markovchain.m text/x-fortran 1006 bytes 10/12/2019 04:23:AM
parameters.f90 text/plain 530 bytes 10/12/2019 04:23:AM
policies_simulation.m text/plain 13.4 KB 10/12/2019 04:23:AM

Project Citation: 

Arellano, Cristina. Replication data for: Default Risk and Income Fluctuations in Emerging Economies. Nashville, TN: American Economic Association [publisher], 2008. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113248V1

Project Description

Summary:  View help for Summary Recent sovereign defaults are accompanied by interest rate spikes and deep recessions. This paper develops a small open economy model to study default risk and its interaction with output and foreign debt. Default probabilities and interest rates depend on incentives for repayment. Default is more likely in recessions because this is when it is more costly for a risk averse borrower to repay noncontingent debt. The model closely matches business cycles in Argentina predicting high volatility of interest rates, higher volatility of consumption relative to output, and negative correlations of output with interest rates and the trade balance.

Scope of Project

JEL Classification:  View help for JEL Classification
      E32 Business Fluctuations; Cycles
      E43 Interest Rates: Determination, Term Structure, and Effects
      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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