The Costs of Sovereign Default: Evidence from Argentina
利用NML Capital诉阿根廷案的法律裁决带来的违约概率变化，发现违约概率上升10%导致阿根廷股票价值下降6%、汇率贬值1%，揭示了主权违约影响经济的渠道。
We estimate the causal effect of sovereign default on the equity returns of Argentine firms. We identify this effect by exploiting changes in the probability of Argentine sovereign default induced by legal rulings in the case of NML Capital, Ltd. v. Republic of Argentina. We find that a 10 percent increase in the probability of default causes a 6 percent decline in the value of Argentine equities and a 1 percent depreciation of a measure of the exchange rate. We examine the channels through which a sovereign default may affect the economy.