Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
963106 | Journal of International Economics | 2009 | 14 Pages |
Abstract
This paper investigates the economic and political conditions that are associated to the occurrence of a sovereign debt crisis. We use a new statistical approach (Classification and Regression Tree) that allows us to derive a collection of “rules of thumb” that help identify the typical characteristics of defaulters. We find that not all crises are equal: they differ depending on whether the government faces insolvency, illiquidity, or various macroeconomic risks. We also characterize the set of fundamentals that can be associated with a relatively “risk-free” zone. This classification is important for discussing appropriate policy options to prevent crises and improve response time and prediction.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Paolo Manasse, Nouriel Roubini,