A general equilibrium model of sovereign default and business cycles /:
Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad-hoc default costs. We propose instead a general equilibrium model of both sovereign d...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2011.
|
| Schriftenreihe: | IMF working paper ;
WP/11/166. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad-hoc default costs. We propose instead a general equilibrium model of both sovereign default and business cycles. In the model, some imported inputs require working capital financing; default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around default triggers an efficiency loss as these inputs are replaced by imperfect substitutes; and default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around defaults, countercyclical spreads, high debt ratios, and key business cycle moments. |
| Beschreibung: | At head of title: Research Department. Title from PDF title page (IMF Web site, viewed September 7, 2011). "July 2011." Available in PDF, ePUB, and Mobi formats on the Internet. |
| Beschreibung: | 1 online resource (56 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 1462330452 1283552752 9781283552752 9781462330454 |
Internformat
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| 100 | 1 | |a Mendoza, Enrique G., |d 1963- |e author. |1 https://id.oclc.org/worldcat/entity/E39PBJyMkRP3hhkmdKMWdcrH4q |0 http://id.loc.gov/authorities/names/no93000401 | |
| 245 | 1 | 2 | |a A general equilibrium model of sovereign default and business cycles / |c Enrique G. Mendoza and Vivian Z. Yue. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2011. | ||
| 300 | |a 1 online resource (56 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper ; |v WP/11/166 | |
| 500 | |a At head of title: Research Department. | ||
| 500 | |a Title from PDF title page (IMF Web site, viewed September 7, 2011). | ||
| 500 | |a "July 2011." | ||
| 500 | |a Available in PDF, ePUB, and Mobi formats on the Internet. | ||
| 520 | |a Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad-hoc default costs. We propose instead a general equilibrium model of both sovereign default and business cycles. In the model, some imported inputs require working capital financing; default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around default triggers an efficiency loss as these inputs are replaced by imperfect substitutes; and default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around defaults, countercyclical spreads, high debt ratios, and key business cycle moments. | ||
| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | |a Cover; Contents; 1. Introduction; Figures; Figure 1: Macroeconomic Dynamics around Sovereign Default Events; 2. A Model of Sovereign Default and Business Cycles; 2.1 Households; 2.2 Final Goods Producers; 2.3 Intermediate Goods Producers; 2.4 Equilibrium in Factor Markets and Production; 2.5 The Sovereign Government; 2.6 Foreign Lenders; Tables; Table 1: Sovereign and Corporate Interest Rates; 2.7 Recursive Equilibrium; Figure 2: Sovereign Bond Interest Rates and Median Firm Financing Costs; 3. Country Risk and Default Costs in Partial Equilibrium. | |
| 505 | 8 | |a 3.1 Interest Rate Changes and Factor AllocationsFigure 3: Effects of Interest Rate Shocks on Intermediate Goods and Labor Allocation; 3.2 Output Costs of Default; Figure 4: Output Costs of Default as a Function of TFP Shock; Figure 5: Output Costs of Default at a Neutral TFP Shock; 4. Quantitative Analysis; 4.1 Baseline Calibration; Figure 6: Interest Rate Shocks and the Labor Market Equilibrium; Table 2: Baseline Calibration; 4.2 Cyclical Co-movements in the Baseline Simulation; Table 3: Statistical Moments in the Baseline Model and in the Data. | |
| 505 | 8 | |a 4.3 Macroeconomic Dynamics around Default EventsFigure 7: Output around Default Events; Figure 8: Macro Dynamics around Default Events; 4.4 Sensitivity Analysis; Table 4: Sensitivity Analysis; 5. Conclusions; References; Appendices; Appendix 1: The Firms' Dynamic Optimization Problem with Working Capital; Appendix 2: Decentralized Equilibrium; Appendix 3: Theorem Proofs; Appendix 4: Data Definition and Data Source; Table A1: Variables and Sources; Table A2: List of Countries and Variables included in the Event Analysis. | |
| 650 | 0 | |a Country risk |x Econometric models. | |
| 650 | 0 | |a Debts, External |x Econometric models. | |
| 650 | 0 | |a Business cycles |x Econometric models. | |
| 650 | 6 | |a Risque pays |x Modèles économétriques. | |
| 650 | 6 | |a Dettes extérieures |x Modèles économétriques. | |
| 650 | 6 | |a Cycles économiques |x Modèles économétriques. | |
| 650 | 7 | |a Business cycles |x Econometric models |2 fast | |
| 650 | 7 | |a Country risk |x Econometric models |2 fast | |
| 650 | 7 | |a Debts, External |x Econometric models |2 fast | |
| 700 | 1 | |a Yue, Vivian Z., |e author. |0 http://id.loc.gov/authorities/names/no2003127951 | |
| 710 | 2 | |a International Monetary Fund. |b Research Department, |e issuing body. |0 http://id.loc.gov/authorities/names/n77001219 | |
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| adam_text | |
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| author | Mendoza, Enrique G., 1963- Yue, Vivian Z. |
| author_GND | http://id.loc.gov/authorities/names/no93000401 http://id.loc.gov/authorities/names/no2003127951 |
| author_facet | Mendoza, Enrique G., 1963- Yue, Vivian Z. |
| author_role | aut aut |
| author_sort | Mendoza, Enrique G., 1963- |
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| callnumber-raw | HG4538 .M46 2011eb HG3881.5.I58 W67 No. 11/166eb |
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| collection | ZDB-4-EBU |
| contents | Cover; Contents; 1. Introduction; Figures; Figure 1: Macroeconomic Dynamics around Sovereign Default Events; 2. A Model of Sovereign Default and Business Cycles; 2.1 Households; 2.2 Final Goods Producers; 2.3 Intermediate Goods Producers; 2.4 Equilibrium in Factor Markets and Production; 2.5 The Sovereign Government; 2.6 Foreign Lenders; Tables; Table 1: Sovereign and Corporate Interest Rates; 2.7 Recursive Equilibrium; Figure 2: Sovereign Bond Interest Rates and Median Firm Financing Costs; 3. Country Risk and Default Costs in Partial Equilibrium. 3.1 Interest Rate Changes and Factor AllocationsFigure 3: Effects of Interest Rate Shocks on Intermediate Goods and Labor Allocation; 3.2 Output Costs of Default; Figure 4: Output Costs of Default as a Function of TFP Shock; Figure 5: Output Costs of Default at a Neutral TFP Shock; 4. Quantitative Analysis; 4.1 Baseline Calibration; Figure 6: Interest Rate Shocks and the Labor Market Equilibrium; Table 2: Baseline Calibration; 4.2 Cyclical Co-movements in the Baseline Simulation; Table 3: Statistical Moments in the Baseline Model and in the Data. 4.3 Macroeconomic Dynamics around Default EventsFigure 7: Output around Default Events; Figure 8: Macro Dynamics around Default Events; 4.4 Sensitivity Analysis; Table 4: Sensitivity Analysis; 5. Conclusions; References; Appendices; Appendix 1: The Firms' Dynamic Optimization Problem with Working Capital; Appendix 2: Decentralized Equilibrium; Appendix 3: Theorem Proofs; Appendix 4: Data Definition and Data Source; Table A1: Variables and Sources; Table A2: List of Countries and Variables included in the Event Analysis. |
| ctrlnum | (OCoLC)751290679 |
| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-ocn751290679 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:03Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/n77001219 |
| isbn | 1462330452 1283552752 9781283552752 9781462330454 |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Mendoza, Enrique G., 1963- author. https://id.oclc.org/worldcat/entity/E39PBJyMkRP3hhkmdKMWdcrH4q http://id.loc.gov/authorities/names/no93000401 A general equilibrium model of sovereign default and business cycles / Enrique G. Mendoza and Vivian Z. Yue. [Washington, D.C.] : International Monetary Fund, ©2011. 1 online resource (56 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/11/166 At head of title: Research Department. Title from PDF title page (IMF Web site, viewed September 7, 2011). "July 2011." Available in PDF, ePUB, and Mobi formats on the Internet. Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad-hoc default costs. We propose instead a general equilibrium model of both sovereign default and business cycles. In the model, some imported inputs require working capital financing; default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around default triggers an efficiency loss as these inputs are replaced by imperfect substitutes; and default on public and private obligations occurs simultaneously. The model explains several features of cyclical dynamics around defaults, countercyclical spreads, high debt ratios, and key business cycle moments. Includes bibliographical references. Cover; Contents; 1. Introduction; Figures; Figure 1: Macroeconomic Dynamics around Sovereign Default Events; 2. A Model of Sovereign Default and Business Cycles; 2.1 Households; 2.2 Final Goods Producers; 2.3 Intermediate Goods Producers; 2.4 Equilibrium in Factor Markets and Production; 2.5 The Sovereign Government; 2.6 Foreign Lenders; Tables; Table 1: Sovereign and Corporate Interest Rates; 2.7 Recursive Equilibrium; Figure 2: Sovereign Bond Interest Rates and Median Firm Financing Costs; 3. Country Risk and Default Costs in Partial Equilibrium. 3.1 Interest Rate Changes and Factor AllocationsFigure 3: Effects of Interest Rate Shocks on Intermediate Goods and Labor Allocation; 3.2 Output Costs of Default; Figure 4: Output Costs of Default as a Function of TFP Shock; Figure 5: Output Costs of Default at a Neutral TFP Shock; 4. Quantitative Analysis; 4.1 Baseline Calibration; Figure 6: Interest Rate Shocks and the Labor Market Equilibrium; Table 2: Baseline Calibration; 4.2 Cyclical Co-movements in the Baseline Simulation; Table 3: Statistical Moments in the Baseline Model and in the Data. 4.3 Macroeconomic Dynamics around Default EventsFigure 7: Output around Default Events; Figure 8: Macro Dynamics around Default Events; 4.4 Sensitivity Analysis; Table 4: Sensitivity Analysis; 5. Conclusions; References; Appendices; Appendix 1: The Firms' Dynamic Optimization Problem with Working Capital; Appendix 2: Decentralized Equilibrium; Appendix 3: Theorem Proofs; Appendix 4: Data Definition and Data Source; Table A1: Variables and Sources; Table A2: List of Countries and Variables included in the Event Analysis. Country risk Econometric models. Debts, External Econometric models. Business cycles Econometric models. Risque pays Modèles économétriques. Dettes extérieures Modèles économétriques. Cycles économiques Modèles économétriques. Business cycles Econometric models fast Country risk Econometric models fast Debts, External Econometric models fast Yue, Vivian Z., author. http://id.loc.gov/authorities/names/no2003127951 International Monetary Fund. Research Department, issuing body. http://id.loc.gov/authorities/names/n77001219 IMF working paper ; WP/11/166. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=2085288 Volltext |
| spellingShingle | Mendoza, Enrique G., 1963- Yue, Vivian Z. A general equilibrium model of sovereign default and business cycles / IMF working paper ; Cover; Contents; 1. Introduction; Figures; Figure 1: Macroeconomic Dynamics around Sovereign Default Events; 2. A Model of Sovereign Default and Business Cycles; 2.1 Households; 2.2 Final Goods Producers; 2.3 Intermediate Goods Producers; 2.4 Equilibrium in Factor Markets and Production; 2.5 The Sovereign Government; 2.6 Foreign Lenders; Tables; Table 1: Sovereign and Corporate Interest Rates; 2.7 Recursive Equilibrium; Figure 2: Sovereign Bond Interest Rates and Median Firm Financing Costs; 3. Country Risk and Default Costs in Partial Equilibrium. 3.1 Interest Rate Changes and Factor AllocationsFigure 3: Effects of Interest Rate Shocks on Intermediate Goods and Labor Allocation; 3.2 Output Costs of Default; Figure 4: Output Costs of Default as a Function of TFP Shock; Figure 5: Output Costs of Default at a Neutral TFP Shock; 4. Quantitative Analysis; 4.1 Baseline Calibration; Figure 6: Interest Rate Shocks and the Labor Market Equilibrium; Table 2: Baseline Calibration; 4.2 Cyclical Co-movements in the Baseline Simulation; Table 3: Statistical Moments in the Baseline Model and in the Data. 4.3 Macroeconomic Dynamics around Default EventsFigure 7: Output around Default Events; Figure 8: Macro Dynamics around Default Events; 4.4 Sensitivity Analysis; Table 4: Sensitivity Analysis; 5. Conclusions; References; Appendices; Appendix 1: The Firms' Dynamic Optimization Problem with Working Capital; Appendix 2: Decentralized Equilibrium; Appendix 3: Theorem Proofs; Appendix 4: Data Definition and Data Source; Table A1: Variables and Sources; Table A2: List of Countries and Variables included in the Event Analysis. Country risk Econometric models. Debts, External Econometric models. Business cycles Econometric models. Risque pays Modèles économétriques. Dettes extérieures Modèles économétriques. Cycles économiques Modèles économétriques. Business cycles Econometric models fast Country risk Econometric models fast Debts, External Econometric models fast |
| title | A general equilibrium model of sovereign default and business cycles / |
| title_auth | A general equilibrium model of sovereign default and business cycles / |
| title_exact_search | A general equilibrium model of sovereign default and business cycles / |
| title_full | A general equilibrium model of sovereign default and business cycles / Enrique G. Mendoza and Vivian Z. Yue. |
| title_fullStr | A general equilibrium model of sovereign default and business cycles / Enrique G. Mendoza and Vivian Z. Yue. |
| title_full_unstemmed | A general equilibrium model of sovereign default and business cycles / Enrique G. Mendoza and Vivian Z. Yue. |
| title_short | A general equilibrium model of sovereign default and business cycles / |
| title_sort | general equilibrium model of sovereign default and business cycles |
| topic | Country risk Econometric models. Debts, External Econometric models. Business cycles Econometric models. Risque pays Modèles économétriques. Dettes extérieures Modèles économétriques. Cycles économiques Modèles économétriques. Business cycles Econometric models fast Country risk Econometric models fast Debts, External Econometric models fast |
| topic_facet | Country risk Econometric models. Debts, External Econometric models. Business cycles Econometric models. Risque pays Modèles économétriques. Dettes extérieures Modèles économétriques. Cycles économiques Modèles économétriques. Business cycles Econometric models Country risk Econometric models Debts, External Econometric models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=2085288 |
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