Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001

This paper aims to test whether the average sovereign bond spread was statistically different from the average provincial spread in Argentina during 1997-2001, that is if investors perceived that Argentina’s default risk being a federal country should have decoupled from provincial default risk or n...

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Autores principales: Grandes, Martín, della Paolera, Gerardo
Formato: Artículo publishedVersion
Lenguaje:Español
Publicado: FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES 2018
Materias:
Sovereign debt
fiscal federalism
emerging economies
bond spreads
provincial debt
federalismo fiscal
países emergentes
spread de bonos
deuda provincial
Deuda soberana
Acceso en línea:https://ojs.economicas.uba.ar/REPBA/article/view/1323
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=ecopol&d=1323_oai
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Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
id I28-R145-1323_oai
record_format dspace
spelling I28-R145-1323_oai2025-02-11 Grandes, Martín della Paolera, Gerardo 2018-11-01 This paper aims to test whether the average sovereign bond spread was statistically different from the average provincial spread in Argentina during 1997-2001, that is if investors perceived that Argentina’s default risk being a federal country should have decoupled from provincial default risk or not. Second it estimates the (joint) determinants of Argentine sovereign bond spreads and sub sovereign provincial bond spreads over the period 1997-2001 in which Argentina was on a currency board. Third, the paper tests for the significance of provincial bond spreads in explaining sovereign default risk, by including the former in a time-series cointegrating equation where the dependent variable is the latter and examines the question of which is the true measure of country risk in a fuzzy fiscal federal nation like Argentina. Finally, it offers some insight into the relationship between default risk, public debt and fiscal federalism using Argentina as a case study. Este trabajo se propone testear si el spread soberano promedio de Argentina fue estadísticamente significativo y diferente del spread de las provincias emisoras de deuda en el período 1997-2001. Esto equivale a testear si los inversores evaluaban que el riesgo de default de Argentina se debía desacoplar o no del de las provincias en los años previos al default de 2001-2002. Segundo, se estima un modelo econométrico de los determinantes conjuntos de los spreads soberanos y provinciales entre 1997 y 2001. Tercero, el trabajo testea si los últimos tuvieron alguna influencia en la variación del riesgo soberano argentino, adoptando un enfoque de cointegración y un modelo de corrección de errores, y se pregunta cuál es la verdadera medida del riesgo país en un contexto de federalismo fiscal difuso. Finalmente, se ofrece un análisis de la relación entre riesgo de default, deuda pública y el federalismo fiscal utilizando Argentina como caso de estudio. application/pdf https://ojs.economicas.uba.ar/REPBA/article/view/1323 spa FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES https://ojs.economicas.uba.ar/REPBA/article/view/1323/1979 Revista de Economía Política de Buenos Aires; Vol. 12 No. 17 (2018): Revista de Economía Política de Buenos Aires; 9-47 Revista de Economía Política de Buenos Aires; Vol. 12 Núm. 17 (2018): Revista de Economía Política de Buenos Aires; 9-47 1853-1350 1850-6933 urn:issn:1853-1350repba.v0i172 Sovereign debt fiscal federalism emerging economies bond spreads provincial debt federalismo fiscal países emergentes spread de bonos deuda provincial Deuda soberana Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001 ¿Existe una relación entre los riesgos de default soberanos y provinciales en países con regímenes de convertibilidad? El caso de Argentina 1997-2002 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=ecopol&d=1323_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
topic Sovereign debt
fiscal federalism
emerging economies
bond spreads
provincial debt
federalismo fiscal
países emergentes
spread de bonos
deuda provincial
Deuda soberana
spellingShingle Sovereign debt
fiscal federalism
emerging economies
bond spreads
provincial debt
federalismo fiscal
países emergentes
spread de bonos
deuda provincial
Deuda soberana
Grandes, Martín
della Paolera, Gerardo
Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001
topic_facet Sovereign debt
fiscal federalism
emerging economies
bond spreads
provincial debt
federalismo fiscal
países emergentes
spread de bonos
deuda provincial
Deuda soberana
description This paper aims to test whether the average sovereign bond spread was statistically different from the average provincial spread in Argentina during 1997-2001, that is if investors perceived that Argentina’s default risk being a federal country should have decoupled from provincial default risk or not. Second it estimates the (joint) determinants of Argentine sovereign bond spreads and sub sovereign provincial bond spreads over the period 1997-2001 in which Argentina was on a currency board. Third, the paper tests for the significance of provincial bond spreads in explaining sovereign default risk, by including the former in a time-series cointegrating equation where the dependent variable is the latter and examines the question of which is the true measure of country risk in a fuzzy fiscal federal nation like Argentina. Finally, it offers some insight into the relationship between default risk, public debt and fiscal federalism using Argentina as a case study.
format Artículo
publishedVersion
author Grandes, Martín
della Paolera, Gerardo
author_facet Grandes, Martín
della Paolera, Gerardo
author_sort Grandes, Martín
title Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001
title_short Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001
title_full Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001
title_fullStr Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001
title_full_unstemmed Sovereign and sub sovereign default risk under currency boards: Is there a link in a federal state? Argentina 1997-2001
title_sort sovereign and sub sovereign default risk under currency boards: is there a link in a federal state? argentina 1997-2001
publisher FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES
publishDate 2018
url https://ojs.economicas.uba.ar/REPBA/article/view/1323
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=ecopol&d=1323_oai
work_keys_str_mv AT grandesmartin sovereignandsubsovereigndefaultriskundercurrencyboardsistherealinkinafederalstateargentina19972001
AT dellapaoleragerardo sovereignandsubsovereigndefaultriskundercurrencyboardsistherealinkinafederalstateargentina19972001
AT grandesmartin existeunarelacionentrelosriesgosdedefaultsoberanosyprovincialesenpaisesconregimenesdeconvertibilidadelcasodeargentina19972002
AT dellapaoleragerardo existeunarelacionentrelosriesgosdedefaultsoberanosyprovincialesenpaisesconregimenesdeconvertibilidadelcasodeargentina19972002
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