Sudden Stops and Collateral Constraints: Searching for "Wally"

Is there a connection between a sudden stop and debt issuance per year? We provide a positive answer to this question using a novel database. We find that countries that experienced a current account deficit of 7% or more during 2 to 3 year will suffer a sudden stop measured by a 4.7% to 5.0% consum...

Descripción completa

Detalles Bibliográficos
Autores principales: Pierri, Damián, Montes Rojas, Gabriel, Mira, Pablo
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2018
Materias:
Ciencias Económicas
debt
deficit
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/165318
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-165318
record_format dspace
spelling I19-R120-10915-1653182024-04-25T20:01:41Z http://sedici.unlp.edu.ar/handle/10915/165318 Sudden Stops and Collateral Constraints: Searching for "Wally" Pierri, Damián Montes Rojas, Gabriel Mira, Pablo 2018-11 2018 2024-04-25T17:32:52Z en Ciencias Económicas debt deficit Is there a connection between a sudden stop and debt issuance per year? We provide a positive answer to this question using a novel database. We find that countries that experienced a current account deficit of 7% or more during 2 to 3 year will suffer a sudden stop measured by a 4.7% to 5.0% consumption drop and a 4.0% current account reversal. Similarly, countries that experienced a current account deficit of 6% of the GDP or more during 4 to 5 years will suffer a sudden consumption drop ranging between 4.4% and 4.9% and a current account reversal between 3.2 and 3.8%. These findings serve can be used as a leading indicator for this type of events. Moreover, using a novel recursive equilibrium notion due to Pierri and Reffet (2018) we are able to match the event using a simple model without imposing shocks to deep parameters or an additional structure to exogenous variables, as it is sometimes done in the literature. The method captures completely the multiplicity of equilibria latent in the sequential equilibrium and provides evidence in favor of interpreting a sudden stop as a coordination event, similar to a bank run. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
debt
deficit
spellingShingle Ciencias Económicas
debt
deficit
Pierri, Damián
Montes Rojas, Gabriel
Mira, Pablo
Sudden Stops and Collateral Constraints: Searching for "Wally"
topic_facet Ciencias Económicas
debt
deficit
description Is there a connection between a sudden stop and debt issuance per year? We provide a positive answer to this question using a novel database. We find that countries that experienced a current account deficit of 7% or more during 2 to 3 year will suffer a sudden stop measured by a 4.7% to 5.0% consumption drop and a 4.0% current account reversal. Similarly, countries that experienced a current account deficit of 6% of the GDP or more during 4 to 5 years will suffer a sudden consumption drop ranging between 4.4% and 4.9% and a current account reversal between 3.2 and 3.8%. These findings serve can be used as a leading indicator for this type of events. Moreover, using a novel recursive equilibrium notion due to Pierri and Reffet (2018) we are able to match the event using a simple model without imposing shocks to deep parameters or an additional structure to exogenous variables, as it is sometimes done in the literature. The method captures completely the multiplicity of equilibria latent in the sequential equilibrium and provides evidence in favor of interpreting a sudden stop as a coordination event, similar to a bank run.
format Objeto de conferencia
Objeto de conferencia
author Pierri, Damián
Montes Rojas, Gabriel
Mira, Pablo
author_facet Pierri, Damián
Montes Rojas, Gabriel
Mira, Pablo
author_sort Pierri, Damián
title Sudden Stops and Collateral Constraints: Searching for "Wally"
title_short Sudden Stops and Collateral Constraints: Searching for "Wally"
title_full Sudden Stops and Collateral Constraints: Searching for "Wally"
title_fullStr Sudden Stops and Collateral Constraints: Searching for "Wally"
title_full_unstemmed Sudden Stops and Collateral Constraints: Searching for "Wally"
title_sort sudden stops and collateral constraints: searching for "wally"
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/165318
work_keys_str_mv AT pierridamian suddenstopsandcollateralconstraintssearchingforwally
AT montesrojasgabriel suddenstopsandcollateralconstraintssearchingforwally
AT mirapablo suddenstopsandcollateralconstraintssearchingforwally
_version_ 1807222792712617984

Ejemplares similares