Data and Code for: Sovereign Debt Restructurings

Principal Investigator(s):  View help for Principal Investigator(s) Maximiliano Dvorkin, Federal Reserve Bank of St. Louis; Juan Sanchez, Federal Reserve Bank of St. Louis; Horacio Sapriza, Board of Governors of the Federal Reserve System; Emircan Yurdagul, Universidad Carlos III

Version:  View help for Version V2

Name File Type Size Last Modified
  Data 02/23/2020 01:25:PM
  fortran_code 01/21/2020 03:04:PM
  highsigma 01/21/2020 03:04:PM
  lowsigma 01/21/2020 03:04:PM
  model1 01/22/2020 02:42:PM
  model10 01/21/2020 03:12:PM
  model11 01/21/2020 03:13:PM
  model12 01/21/2020 03:13:PM
  model13 01/21/2020 03:13:PM
  model14 01/21/2020 03:14:PM
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Project Citation: 

Dvorkin, Maximiliano, Sanchez, Juan , Sapriza, Horacio, and Yurdagul, Emircan. Data and Code for: Sovereign Debt Restructurings. Nashville, TN: American Economic Association [publisher], 2021. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2021-03-19. https://doi.org/10.3886/E115905V2

Project Description

Summary:  View help for Summary
Sovereign debt crises involve debt restructurings characterized by a mix of face-value haircuts and maturity extensions. The prevalence of maturity extensions has been hard to reconcile with economic theory. We develop a model of endogenous debt restructuring that captures key facts of sovereign debt and restructuring episodes. While debt dilution pushes for negative maturity extensions, three factors are important in overcoming the effects of dilution and generating maturity extensions upon restructurings: income recovery after default, credit exclusion after restructuring, and regulatory costs of book-value haircuts. We employ dynamic-discrete-choice methods that allow for smoother
decision rules, rendering the problem tractable.

Scope of Project

Subject Terms:  View help for Subject Terms Crises; Default; Sovereign Debt; Restructuring; Rescheduling; Country Risk; Maturity; Dynamic Discrete Choice
JEL Classification:  View help for JEL Classification
      F34 International Lending and Debt Problems
      F41 Open Economy Macroeconomics
      G15 International Financial Markets


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Published Versions

V2 [2021-03-19]

V1 [2019-12-02]

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