This paper contains an empirical investigation of the set of economic and political conditions that are associated with a likely 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.
Rules of thumb for sovereign debt crises / P. Manasse ; N. ROUBINI. - In: JOURNAL OF INTERNATIONAL ECONOMICS. - ISSN 0022-1996. - STAMPA. - 78:2(2009), pp. 192-205. [10.1016/j.jinteco.2008.12.002]
Rules of thumb for sovereign debt crises
MANASSE, PAOLO LUCIANO ADALBERTO;
2009
Abstract
This paper contains an empirical investigation of the set of economic and political conditions that are associated with a likely 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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.