ESTIMATING FISCAL LIMITS: THE CASE OF GREECE
用贝叶斯方法估计一个包含财政政策工具、随机财政极限和主权违约的真实商业周期模型，发现2010年第四季度希腊债务违约概率在5-10%之间，且模型能解释2011年希腊实际利率飙升。
SUMMARY This paper uses Bayesian methods to estimate a real business cycle model that allows for interactions among fiscal policy instruments, the stochastic ‘fiscal limit’ and sovereign default. Using the particle filter to perform likelihood‐based inference, we estimate the full nonlinear model with post‐EMU data until 2010:Q4. We find that (i) the probability of default on Greek debt was in the range of 5–10% in 2010:Q4 and (ii) the 2011 surge in the Greek real interest rate is within model forecast bands. The results suggest that a nonlinear rational expectations environment can account for the Greek interest rate path. Copyright © 2014 John Wiley & Sons, Ltd.