Data and Code for "The Aggregate-Demand Doom Loop: Precautionary Motives and the Welfare Costs of Sovereign Risk"

Principal Investigator(s):  View help for Principal Investigator(s) Francisco Roldán, International Monetary Fund

Version:  View help for Version V1

Name File Type Size Last Modified
figure01.pdf application/pdf 26.1 KB 01/11/2024 06:38:AM
figure02.pdf application/pdf 17.1 KB 01/11/2024 06:38:AM
figure03.pdf application/pdf 15.5 KB 01/11/2024 06:38:AM
figure04.pdf application/pdf 78.6 KB 01/11/2024 06:38:AM
figure05.pdf application/pdf 20.8 KB 01/11/2024 06:38:AM
figure06.pdf application/pdf 17.6 KB 01/11/2024 06:38:AM
figure07.pdf application/pdf 16.9 KB 01/11/2024 06:38:AM
figure08.pdf application/pdf 15.3 KB 01/11/2024 06:39:AM
figure09.pdf application/pdf 26.9 KB 01/11/2024 06:39:AM
figure10.pdf application/pdf 27.8 KB 01/11/2024 06:39:AM

Project Description

Summary:  View help for Summary
The data and code in this replication package produces all 26 figures and 8 tables for the paper "The Aggregate-Demand Doom Loop: Precautionary Motives and the Welfare Costs of Sovereign Risk," by Francisco Roldán.

The paper examines the role of households' precautionary savings motive in amplifying and propagating movements in sovereign spreads. It studies this mechanism in a model where the government of a small open economy borrows from foreigners but the debt is then partially held by heterogeneous domestic savers. In a calibration to Spain in the 2000s, it finds that default risk accounts for about half of the output contraction. More generally, sovereign risk exacerbates volatility in consumption over time and across agents, creating large and unequal welfare costs even if default does not materialize.




Scope of Project

Subject Terms:  View help for Subject Terms Sovereign risk; Sovereign default; Aggregate demand; Precautionary motives; Heterogeneous agents
JEL Classification:  View help for JEL Classification
      E21 Macroeconomics: Consumption; Saving; Wealth
      F34 International Lending and Debt Problems
      H63 National Debt; Debt Management; Sovereign Debt
Geographic Coverage:  View help for Geographic Coverage Europe, Spain
Data Type(s):  View help for Data Type(s) aggregate data; program source code


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Published Versions

V1 [2025-06-06]

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