Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/289962 
Year of Publication: 
2023
Series/Report no.: 
IDB Working Paper Series No. IDB-WP-1447
Publisher: 
Inter-American Development Bank (IDB), Washington, DC
Abstract: 
We assess the quantitative relevance of expectations-driven sovereign debt crises, focusing on the Southern European crisis of the early 2010s and the Argentine default of 2001. The source of multiplicity is the one in Calvo (1988). Key for multiplicity is an output process featuring long periods of either high growth or stagnation that we estimate using data for those countries. We find that expectations-driven debt crises are quantitatively relevant but state dependent, as they only occur during stagnations. Expectations are a major driver explaining default rates and credit spread differences between Spain and Argentina.
Subjects: 
Self-fulfilling debt crises
Sovereign default
Multiplicity
Stagnations
JEL: 
E44
F34
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper

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