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Sovereigns going bust: Estimating the cost of default
فرمانروایان ورشکستگی: برآورد هزینه های پیش فرض-2019 Article history:Received 6 December 2017Accepted 4 April 2019Available online 15 May 2019JEL classification:H63 F34 F41 G01Keywords: Sovereign default Sovereign debt Banking crises Local projectionsInverse propensity score weightingWhat is the cost of sovereign default, and what makes default costly? This paper uses a novel econometric method – combining local projections and propensity score weighting as in Jordà and Taylor (2016) – to study these questions. We find that default generates a long-lasting output cost – 2.7% of GDP on impact and 3.7% at peak after five years – but in the longer term, economic activity recovers. The downturn is characterised by a collapse in investment and gross trade. The cost rises dramatically if the default is followed by a systemic banking crisis – peaking at some 9.5% of GDP – but is attenuated for economies with floating exchange rates. Our findings suggest that financial autarky, trade frictions and sovereign-banking spillovers play a key role in generating the cost of default.© 2019 Elsevier B.V. All rights reserved. Keywords: Sovereign default | Sovereign debt | Banking crises | Local projections | Inverse propensity score weighting |
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