国家会在经济不景气时违约吗？替代趋势技术的作用

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2024-11-26 DOI:10.1016/j.econlet.2024.112076

Ugo Panizza

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引用次数: 0

摘要

主权债务的定量模型预测，在严重衰退期间，国家应该违约。然而，对主权债务的实证研究发现，“好时期”违约（即GDP高于趋势水平时发生的违约）的比例惊人地高。现有证据还表明，平均而言，违约发生在产出接近潜在水平的时候。本文重新评估了经验证据，并表明Hamilton（2018）提出的去趋势技术产生的结果更接近主权债务标准定量模型的预测。

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Do countries default in bad times? The role of alternative detrending techniques

Quantitative models of sovereign debt predict that countries should default during deep recessions. However, empirical research on sovereign debt has found a surprisingly large share of “good times” defaults (i.e., defaults that happen when GDP is above trend). Existing evidence also indicates that, on average, defaults happen when output is close to potential. This paper reassesses the empirical evidence and shows that the detrending technique proposed by Hamilton (2018) yields results that are closer to the predictions of standard quantitative models of sovereign debt.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.