Heterogeneous Borrowers in Quantitative Models of Sovereign Default

By J. Hatchondo, Leonardo Martinez, Horacio Sapriza. 2009

135 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e20777e0a2b20b6a2869afd91c9e4b3b6ff6f230

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Citations in the corpus

Debt Dilution and Sovereign Default Risk (2011, unknown): “For instance, Alfaro and Kanczuk (2005), Cole et al. (1995), Hatchondo et al. (2009), and Guembel and Sussman (2009) discuss how sovereign defaults may be triggered by changes in political circumstances.”
Quantitative Models of Sovereign Debt Crises (2016, unknown): “Starting with the period of mandatory exclusion and continuing for as long as exclusion lasts, the sovereign loses a proportion φ(g, z) of (nondefault state) 6See also Hatchondo and Martinez (2009), Chatterjee and Eyigungor (2012) and Arellano and Ramanarayanan (2012). output Y .”
Quantitative Properties of Sovereign Default Models: Solution Methods Matter (2010, background): “For example, we find that it is computationally costly to eliminate the significant distortions that DSS introduces in the behavior of the interest rate spread for the models presented in Hatchondo and Martinez (2009) and Hatchondo et al. (2007, 2009).”
Default risk and risk averse international investors (2013, background): “Investors’ characteristics contribute to a non-empty risky region in two ways which have opposite effects: First, from proposition 1, proposition 2, and equation (21) the speed at which q(b′, s) decreases when b′ decreases is increasing in γ and decreasing W .”
Long-Duration Bonds and Sovereign Defaults (Revised July 2009) (2009, background): “…Aguiar and Gopinath (2006), Arellano (2008), Arellano and Ramanarayanan (2008), Bai and Zhang (2006), Benjamin and Wright (2008), Cuadra and Sapriza (2006, 2008), D’Erasmo (2008), Eyigungor (2006), Hatchondo et al. (2006, 2007, 2009), Lizarazo (2005, 2006), Mendoza and Yue (2008), and Yue (2005).”
Government Reputation and Debt Repayment in Emerging Economies (2008, background): “45, s = π).(27) This figure shows that incentives to default are stronger in “bad times” and that the misaligned type, everything else equal, has a higher probability (26)Discount factors in Arellano (2008), Aguiar and Gopinath (2006) and Yue (2010) are 0.”