"Rules of thumb" for sovereign debt crises
This paper investigates the economic and political conditions that are associated to the occurrence of a sovereign debt crisis. We use a new statistical approach (Classification and Regression Tree) that allows us to derive a collection of "rules of thumb" that help identify the typical characteristics of defaulters. We find that not all crises are equal: they differ depending on whether the government faces insolvency, illiquidity, or various macroeconomic risks. We also characterize the set of fundamentals that can be associated with a relatively "risk-free" zone. This classification is important for discussing appropriate policy options to prevent crises and improve response time and prediction.
Year of publication: |
2009
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Authors: | Manasse, Paolo ; Roubini, Nouriel |
Published in: |
Journal of International Economics. - Elsevier, ISSN 0022-1996. - Vol. 78.2009, 2, p. 192-205
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Publisher: |
Elsevier |
Subject: | Sovereign debt Crises Default |
Saved in:
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