A Quantitative Model of Sovereign Debt, Bailouts and Conditionality

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2014
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Zusammenfassung

International Financial Institutions provide temporary financial support contingent on the implementation of specific macroeconomic policies. While several emerging markets repeatedly used conditional assistance, sovereign defaults occurred. This paper develops a dynamic stochastic model of a small open economy with endogenous default risk and endogenous participation rates in bailout programs. Conditionality enters as a constraint on fiscal policy. In a quantitative application to Argentina the model mimics the repeated and prolonged use of third-party assistance. Bailouts generate incentives for debt accumulation and extend the risk of sovereign default. Stricter conditionality decreases bailout participation rates and increases macroeconomic volatility and default probabilities.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
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sovereign debt, sovereign default, interest rate spread, fiscal policy, bailouts, conditionality
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ISO 690FINK, Fabian, Almuth SCHOLL, 2014. A Quantitative Model of Sovereign Debt, Bailouts and Conditionality
BibTex
@unpublished{Fink2014Quant-30492,
  year={2014},
  title={A Quantitative Model of Sovereign Debt, Bailouts and Conditionality},
  author={Fink, Fabian and Scholl, Almuth},
  note={Revised version of the Konstanz Working Paper 2011-46 (Link in KOPS: http://kops.uni-konstanz.de/handle/123456789/21964)}
}
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Revised version of the Konstanz Working Paper 2011-46 (Link in KOPS: http://kops.uni-konstanz.de/handle/123456789/21964)
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