A general equilibrium model of sovereign default and business cycles

Quarterly Journal of Economics

Volumn 127, Issue 2, 2012, Pages 889-946

  Mendoza, Enrique G ^a,b   Yue, Vivian Z ^a,b  

^a UNIVERSITY OF MARYLAND   (United States)

^b FEDERAL RESERVE BOARD   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BUSINESS CYCLE; CAPITAL; ECONOMIC ACTIVITY; FINANCIAL PROVISION; GENERAL EQUILIBRIUM ANALYSIS; INVESTMENT; NUMERICAL MODEL;

EID: 84860480646     PISSN: 00335533     EISSN: 15314650     Source Type: Journal    
DOI: 10.1093/qje/qjs009     Document Type: Article

References (54)

1. Agca, Senay, and Oya Celasun, "How Does Public External Debt Affect Corporate Borrowing Costs in Emerging Markets?" IMF Working Paper WP/09/266, 2009
2. Aguiar, Mark, and Gita Gopinath, "Defaultable Debt, Interest Rates and the Current Account," Journal of International Economics, 69 (2006), 64-83
3. Amador, Manuel, "A Political Economy Model of Sovereign Debt Repayment," Working Paper, Stanford University, 2003
4. Amiti, Mary, and Jozef Kronings, "Trade Liberalization, Intermediate Inputs, and Productivity: Evidence from Indonesia," American Economic Review, 97 (2007), 1611-1638
5. Arellano, Cristina, "Default Risk and Income Fluctuations in Emerging Economies," American Economic Review, 98 (2008), 690-712
6. Arellano, Cristina, and Narayana Kocherlakota, "Internal Debt Crises and Sovereign Defaults," Mimeo, University of Minnesota, 2007
7. Arteta, Carlos, and Galina Hale, "Sovereign Debt Crises and Credit to the Private Sector," Journal of International Economics, 74 (2007), 53-69
8. Aylward, Lynn, and Rupert Thorned, "Countries' Repayment Performance Vis-à-Vis the IMF: An Empirical Analysis," IMF Staff Papers, 45 (1998), 595-619
9. Bai, Yan, and Jing Zhang, "Financial Globalization and International Risk Sharing," Journal of International Economics, 86 (2012), 17-32
10. Benjamin, David M., and Felipe Meza, "Total Factor Productivity and Labor Reallocation: The Case of the Korean 1997 Crisis," Mimeo, Universidad Carlos III de Madrid, 2007.
11. Benjamin, David, and Mark L. J. Wright, "Recovery before Redemption: A Theory of Delays in Sovereign Debt Renegotiations," Mimeo, University of California, Los Angeles, 2008.
12. Bi, Ran, "Debt Dilution and the Maturity Structure of Sovereign Bonds," Ph.D. diss. University of Maryland, 2008a.
13. Bi, Ran, "Beneficial Delays in Debt Restructuring Negotiations," Ph.D. diss., University of Maryland, 2008b.
14. Boughton, James M., Silent Revolution: The International Monetary Fund 1979- 1989, chapter 9 (Washington, D.C.: IMF, 2001).
15. Broner, Fernado, Alberto Martin, and Jaume Ventura, "Sovereign Risk and Secondary Markets," Working Paper, Department of Economics-CREI, Universitat Pompeu Fabra, 2008
16. Bulow, Jeremy, and Rogoff, Kenneth, "Sovereign Debt: Is to Forgive to Forget?," American Economic Review, 79 (1989), 43-50
17. Calvo, Guillermo A., Alejandro Izquierdo, and Ernesto Talvi, "Phoenix Miracles in Emerging Markets: Recovering without Credit form Systematic Financial Crises," NBER Working Paper no. 12101, 2006.
18. Chatterjee, Satyajit, and Burcu Eyigungor, "Maturity, Indebtedness, and Default Risk," Federal Reserve Bank of Philadelphia Working Paper 09-2, 2008
19. Corsetti, Giancarlo, Keith Kuester, André Meier, and Gernot J. Muller, "Debt Consolidation and Fiscal Stabilization of Deep Recessions," American Economic Review, 100 (2010), 41-45.
20. Cuadra, Gabriel, and Horacio Sapriza, "Sovereign Default, Interest Rates and Political Uncertainty in Emerging markets," Bank of Mexico Working Paper, 2008
21. D'Erasmo, Pablo, "Government Reputation and Debt Repayment in Emerging Economies," Ph.D. diss., University of Texas, Austin, 2008.
22. Dias, Daniel A., and Christine Richmond, "Duration of Capital Market Exclusion: An Empirical Investigation," Working Paper, UCLA, 2007.
23. Eaton, Jonathan, and Mark Gersovitz, "Debt with Potential Repudiation: Theoretical and Empirical Analysis," Review of Economic Studies, 48 (1981), 289-309
24. Edwards, Sebastian, "LDC Foreign Borrowing and Default Risk: An Empirical Investigation, 1976-80," American Economic Review, 74 (1984), 726-734
25. Fuerst, Timothy S., "Liquidity, Loanable Funds, and Real Activity," Journal of Monetary Economics, 29 (1992), 3-24.
26. Gelos, Gaston R., Ratna Sahay, and Guido Sandleris, "Sovereign Borrowing by Developing Countries: What Determines Market Access?" IMF Working Paper, 2003.
27. Goldberg, Linda S., and Jose Manuel Campa, "The Sensitivity of the CPI to Exchange Rates: Distribution Margins, Imported Inputs, and Trade Exposure," Review of Economics and Statistics, 92 (2010), 392-407.
28. Gopinath, Gita, Oleg Itskhoki, and Roberto Rigobon, "Currency Choice and Exchange Rate Pass-Through," American Economic Review, 100 (2010), 304- 336
29. Gopinath, Gita, and Brent Neiman, "Trade Adjustments in Large Crises, "Working Paper, Harvard University and University of Chicago, 2010
30. Greenwood, Jeremy, Zvi Hercowitz, and Gregory W. Huffman, "Investment, Capacity Utilization, and the Real Business Cycle," American Economic Review, 78 (1988), 402-417.
31. Halpern, Laszlo, Miklos Koren, and Adam Szeidl, "Imported Inputs and Productivity," University of California, Berkeley, 2009
32. International Monetary Fund, "World Economic Outlook-Financial Systems and Economic Cycles," September. International Monetary Fund, 2006.
33. Kaletsky, Anatole, The Costs of Default (New York: Twentieth Century Fund, 1985)
34. Kohlscheen, Emanuel, and S. A. O'Connell, "Trade Credit and Sovereign Debt," Mimeo, University of Warwick, 2008.
35. Levy-Yeyati, Eduardo, and Ugo Panizza, "The Elusive Cost of Sovereign Default," Journal of Development Economics, 94 (2011), 95-105
36. Lizarazo, Sandra Valentina, "Default Risk and Risk Averse International Investors," Mimeo, ITAM, Mexico, 2005
37. Martinez, Jose Vicente, and Guido Sandleris, "Is it Punishment? Sovereign Defaults and the Decline in Trade," Mimeo, Universidad Torcuato Di Tella, 2008
38. McDaniel, Christine A., and Edward J. Balistreri, "A Discussion on Armington Trade Substitution Elasticities," Office of Economics Working Paper, U.S. International Trade Commission, no. 2002-01-A, 2002.
39. Mendoza, Enrique G., "Real Business Cycles in a Small Open Economy," American Economic Review, 81 (1991), 797-818.
40. Mendoza, Enrique G., "Sudden Stops, Financial Crises and Leverage," American Economic Review, 100 (2010), 1941-1966.
41. Mendoza, Enrique G., and Vivian Z. Yue, "A General Equilibrium Model of Sovereign Default and Business Cycles," IMF Working Paper no. WP/11/166, International Monetary Fund, 2011.
42. Meza, Felipe, and Erwan Quintin, "Financial Crises and Total Factor Productivity," Mimeo, Universidad Carlos III de Madrid, 2006
43. Neumeyer, Pablo A., and Fabrizio Perri. "Business Cycles in Emerging Economies: The Role of Interest Rates," Journal of Monetary Economics, 52 (2005), 345- 380.
44. Oviedo, Marcelo P., "World Interest Rate, Business Cycles, and Financial Intermediation in Small Open Economies," Mimeo, Iowa State University, 2005.
45. Reinhart, Carmen. M, "This Time Is Different Chartbook: Country Histories on Debt, Default, and Financial Crises," NBER Working Paper no. 15815, 2010.
46. Reinhart, Carmen M., and Kenneth S. Rogoff, "From Financial Crash to Debt Crisis," NBER Working Paper no. 15795, 2010.
47. Reinhart, Carmen M., Kenneth S. Rogoff, and M. A. Savastano, "Debt Intolerance," NBER Working Paper no. 9908, 2003.
48. Rose, Andrew K., "One Reason Countries Pay Their Debts: Renegotiation and International Trade," Journal of Development Economics, 77 (2005), 189-206.
49. Schmitt-Grohe, Stephanie, and Martin Uribe, "Optimal, Simple, and Implementable Monetary and Fiscal Rules," Journal of Monetary Economics, 54 (2007), 1702-1725
50. Tauchen, George, "Finite State Markov-Chain Approximations to Univariate and Vector Autoregressions," Economic Letters, 20 (1986), 177-181
51. Tomz, Michael, and Mark Wright, "Do Countries Default in 'Bad Times'?,"' Mimeo, UCLA, 2007
52. Uribe, Martin, and Vivian Zhanwei Yue. "Country Spreads and Emerging Countries: Who Drives Whom?," Journal of International Economics, 69 (2006), 6-36.
53. Wright, Mark L. J., "Private Capital Flows, Capital Controls, and Default Risk," Journal of International Economics, 69 (2006), 120-149.
54. Yue, Vivian Zhanwei. "Sovereign Default and Debt Renegotiation," Journal of International Economics, 80 (2010), 176-187.