Default risk and income fluctuations in emerging economies

American Economic Review

Volumn 98, Issue 3, 2008, Pages 690-712

  Arellano, Cristina ^a,b  

^a UNIVERSITY OF MINNESOTA   (United States)

^b FEDERAL RESERVE BANK OF MINNEAPOLIS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 58149302923     PISSN: 00028282     EISSN: None     Source Type: Journal    
DOI: 10.1257/aer.98.3.690     Document Type: Article

References (41)

1. Aguiar, Mark, and Gita Gopinath. 2006. "Defaultable Debt, Interest Rates and the Current Account." Journal of International Economics, 69(1): 64-83.
2. Aguiar, Mark, and Gita Gopinath. 2007. "Emerging Market Business Cycles: The Cycle Is the Trend." Journal of Political Economy, 115(1): 69-102.
3. Alvarez, Fernando, and Urban J. Jermann. 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default." Econometrica, 68(4): 775-797
4. Amador, Manuel. 2003. "A Political Model of Sovereign Debt Repayment." Unpublished.
5. Arellano, Cristina, and Katya Kartashova. 2007. "Firm Level Study of an Emerging Market Crisis." Unpublished.
6. Arellano, Cristina, and Ananth Ramanarayanan. 2007. "Default and the Maturity Structure in Sovereign Bonds." Unpublished.
7. Atkeson, Andrew. 1991. "International Lending with Moral Hazard and Risk of Repudiation." Econometrica, 59(4): 1069-1089
8. Bai, Yan, and Jing Zhang. 2005. "Financial Integration and International Risk-Sharing." Unpublished.
9. Beim, David, and Charles Calomiris. 2001. Emerging Financial Markets. New York: McGraw-Hill.
10. Bernanke, Ben S., and Mark Gertler. 1989. "Agency Costs, Net Worth, and Business Fluctuations." American Economic Review, 79(1): 14-31.
11. Broner, Fernando, Guido Lorenzoni, and Sergio Schmukler. 2005. "Why Do Emerging Economies Borrow Short Term?" Unpublished.
12. Bulow, Jeremy, and Kenneth Rogoff. 1989. "Sovereign Debt: Is to Forgive to Forget?" American Economic Review, 79(1): 43-50.
13. Chatterjee, Satyajit, Dean Corbae, Makoto Nakajima, and José-Víctor Ríos-Rull. 2007. "A Quantitative Theory of Unsecured Consumer Credit with Risk of Default." Econometrica, 75(6): 1525-1589
14. Cohen, Daniel, and Jeffrey Sachs. 1986. "Growth and External Debt under Risk of Debt Repudiation." European Economic Review, 30(3): 529-560
15. Cole, Harold L., and Patrick J. Kehoe. 1997. "Reviving Reputation Models of International Debt." Federal Reserve Bank of Minneapolis Quarterly Review, 21(1): 21-30.
16. Cole, Harold L., and Timothy J. Kehoe. 2000. "Self-Fulfilling Debt Crises." Review of Economic Studies, 67(1): 91-116.
17. Cuadra, Gabriel, and Horacio Sapriza. 2006. "Sovereign Default, Interest Rates and Political Uncertainty in Emerging Markets." Unpublished.
18. Eaton, Jonathan, and Mark Gersovitz. 1981. "Debt with Potential Repudiation: Theoretical and Empirical Analysis." Review of Economic Studies, 48(2): 289-309.
19. Gelos, Gaston R., Ratna Sahay, and Guido Sandleris. 2004. "Sovereign Borrowing by Developing Countries: What Determines Market Access?" International Monetary Fund Working Paper 04221.
20. Huang, Jing-Zhi, and Ming Huang. 2003. "How Much of the Corporate-Treasury Yield-Spread is due to Credit Risk?" Unpublished.
21. Huggett, Mark. 1993. "The Risk-Free Rate in Heterogeneous-Agent Incomplete-Insurance Economies." Journal of Economic Dynamics and Control, 17(5-6): 953-969
22. Inter-American Development Bank, ed. 2006. Living with Debt: How to Limit the Risks of Sovereign Finance. Coordinated by Eduardo Borensztein, Eduardo Levy-Yeyati, and Ugo Panizza. Cambridge, MA: Harvard University Press.
23. Kehoe, Timothy J., and David K. Levine. 1993. "Debt-Constrained Asset Markets." Review of Economic Studies, 60(4): 865-888
24. Kiyotaki, Nobuhiro, and John Moore. 1997. "Credit Cycles." Journal of Political Economy, 105(2): 211-248
25. Kletzer, Kenneth M., and Brian D. Wright. 2000. "Sovereign Debt as Intertemporal Barter." American Economic Review, 90(3): 621-639
26. Kocherlakota, Narayana R. 1996. "Implications of Efficient Risk Sharing without Commitment." Review of Economic Studies, 63(4): 595-609.
27. Lizarazo, Sandra. 2006. "Default Risk and Risk Averse International Investors." Unpublished.
28. Ljungqvist, Lars, and Thomas J. Sargent. 2000. Recursive Macroeconomic Theory. Cambridge, MA: MIT Press.
29. Mendoza, Enrique G. 1991. "Real Business Cycles in a Small Open Economy." American Economic Review, 81(4): 797-818.
30. Mendoza, Enrique G. 2006. "Endogenous Sudden Stops in a Business Cycle Model with Collateral Constraints: A Fisherian Deflation of Tobin's Q." National Bureau of Economic Research Working Paper 12564.
31. Mendoza, Enrique G., and Vivian Yue. 2007. "Explaining the Country Risk-Business Cycles Disconnect." Unpublished.
32. Miller, David, Michael Tomz, and Mark Wright. 2006. "Sovereign Debt, Default, and Bailouts." Unpublished.
33. Neumeyer, Pablo A., and Fabrizio Perri. 2005. "Business Cycles in Emerging Economies: The Role of Interest Rates." Journal of Monetary Economics, 52(2): 345-380
34. Sandleris, Guido. 2006. "Sovereign Defaults: Information, Investment and Credit." Unpublished.
35. Tauchen, George, and Robert Hussey. 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models." Econometrica, 59(2): 371-396
36. Tirole, Jean. 2003. "Inefficient Foreign Borrowing: A Dual- and Common-Agency Perspective." American Economic Review, 93(5): 1678-1702.
37. Uribe, Martin, and Vivian Z. Yue. 2006. "Country Spreads and Emerging Countries: Who Drives Whom?" Journal of International Economics, 69(1): 6-36.
38. Wright, Mark J. 2002. "Reputations and Sovereign Debt." Unpublished.
39. Yue, Vivian. 2005. "Sovereign Default and Debt Renegotiation." Unpublished.
40. Zame, William R. 1993. "Efficiency and the Role of Default When Security Markets Are Incomplete." American Economic Review, 83(5): 1142-64.
41. Zhang, Harold H. 1997. "Endogenous Borrowing Constraints with Incomplete Markets." Journal of Finance, 52(5): 2187-2209.