Paluszynski, Radoslaw
Learning about debt crises / by Radoslaw Paluszynski
Resumen
Bibliografía.
The European debt crisis presents a challenge to our understanding of the relationship between government bond yields and economic fundamentals. I argue that information frictions are an important missing element and support that claim with evidence on the evolution of GDP forecast errors after 2008. I build a quantitative model of sovereign default where output features rare disasters and agents learn about their realizations. Debt crises coincide with economic depressions and develop gradually while markets update their expectations about future income. Calibrated to the Portuguese economy, the model replicates the comovement of bond spreads and output before and after 2008.
CRISIS FINANCIERA
DEUDA PUBLICA
DEFICIT PUBLICO
CICLOS ECONOMICOS
PRODUCCION
ANALISIS MACROECONOMICO
American Economic Journal : Macroeconomics 1945-7707 v. 15, n. 1, January 2023, p. 106-134
Learning about debt crises / by Radoslaw Paluszynski
Resumen
Bibliografía.
The European debt crisis presents a challenge to our understanding of the relationship between government bond yields and economic fundamentals. I argue that information frictions are an important missing element and support that claim with evidence on the evolution of GDP forecast errors after 2008. I build a quantitative model of sovereign default where output features rare disasters and agents learn about their realizations. Debt crises coincide with economic depressions and develop gradually while markets update their expectations about future income. Calibrated to the Portuguese economy, the model replicates the comovement of bond spreads and output before and after 2008.
CRISIS FINANCIERA
DEUDA PUBLICA
DEFICIT PUBLICO
CICLOS ECONOMICOS
PRODUCCION
ANALISIS MACROECONOMICO
American Economic Journal : Macroeconomics 1945-7707 v. 15, n. 1, January 2023, p. 106-134