Dvorkin, Maximiliano A.; Sanchez, Juan M.; Sapriza, Horacio - 2018
Leading into a debt crisis, interest rate spreads on sovereign debt rise before the economy experiences a decline in … productivity. A quantitative model of news and sovereign debt default with endogenous maturity choice generates impulse responses …-term debt does not shield the country from bad news shocks, and it may even exacerbate default risk. Finally, an increase in the …
