dc.contributor.author
Ayres, João
dc.contributor.author
Navarro, Gaston
dc.contributor.author
Nicolini, Juan Pablo
dc.contributor.author
Teles, Pedro
dc.identifier
https://ddd.uab.cat/record/196714
dc.identifier
urn:oai:ddd.uab.cat:196714
dc.description.abstract
In the standard model of sovereign default, as in Aguiar and Gopinath (2006) or Arellano (2008), default is driven by fundamentals alone. There is no independent role for expectations. We show that small variations of that model are consistent with multiple interest rate equilibria. Some of those equilibria correspond to the ones identified by Calvo (1988), where default is likely because rates are high, and rates are high because default is likely. The model is used to simulate equilibrium movements in sovereign bond spreads that resemble sovereign debt crises. It is also used to discuss lending policies similar to the ones announced by the European Central Bank in 2012.
dc.description.abstract
The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.
dc.format
application/pdf
dc.relation
European Commission 649396
dc.relation
Barcelona Graduate School of Economics. ADEMU working paper series ;
dc.rights
Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, la comunicació pública de l'obra i la creació d'obres derivades, fins i tot amb finalitats comercials, sempre i quan es reconegui l'autoria de l'obra original.
dc.rights
https://creativecommons.org/licenses/by/4.0/
dc.subject
Sovereign default
dc.subject
Interest rate spreads
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Multiple equilibria
dc.title
Sovereign default : the role of expectations
