PlumX Metrics
SSRN
Embed PlumX Metrics

Model-Based Estimation of Sovereign Default

SSRN, ISSN: 1556-5068
2017
  • 0
    Citations
  • 1,782
    Usage
  • 5
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Usage
    1,782
    • Abstract Views
      1,548
    • Downloads
      234
  • Captures
    5
  • Ratings
    • Download Rank
      261,737

Article Description

We estimate a canonical sovereign default model from Arellano (2008) for Argentina via maximum simulated likelihood estimation to understand how well it performs in terms of predicting default events. The estimated model accounts for the overall default patterns of Argentina and closely matches the default data. Out-of-sample forecasting shows that the model performs better than a logit model in predicting the onset of default events. In terms of the business cycle statistics, the findings of the model are consistent with the data and Arellano (2008), with some caveats.

Bibliographic Details

Provide Feedback

Have ideas for a new metric? Would you like to see something else here?Let us know