Quantitative sovereign default models and the European debt crisis
研究了量化主权违约模型能否用于分析国内公共债务占主导的债务危机，通过匹配公共债务的周期性特征，更好地捕捉了欧洲债务危机中的利率差和危机动态。
A large literature has developed quantitative versions of the Eaton and Gersovitz (1981) model to analyze default episodes on external debt. In this paper, we study whether the same framework can be applied to the analysis of debt crises in which domestic public debt plays a prominent role. We consider a model where a government can issue debt to both domestic and foreign investors, and we derive conditions under which their sum is the relevant state variable for default incentives. We then apply our framework to the European debt crisis. We show that matching the cyclicality of public debt—rather than that of external debt—allows the model to better capture the empirical distribution of interest rate spreads and gives rise to more realistic crises dynamics.