Essays on sovereign debt crisis
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Tese |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/27901 |
Resumo: | This thesis studies novel elements that can affect sovereign debt and default decisions, taking into account the interplays between such factors and indebtedness dynamics. The first chapter studies how a surge in sovereign risk induces trade rearrangements and how this channel affects the economic cost of a debt crisis, shaping sovereign default incentives through the business cycle. The motivation comes from the fact that the European debt crises led to strong response in the exports of the southern European countries; despite the absence of exchange rate devaluations throughout the crisis. To study this issue, I present a general equilibrium model of sovereign default with international trade. The model delivers a structural gravity equation that I use to estimate the trade costs of a debt crisis, validate its key mechanism, and disciplines the calibration of the numerical experiments. Simulation results show that (i) the exports channel is quantitatively relevant, (ii) the final impacts depends on the exports sectoral composition and (iii) beyond the aggregate effects, a debt crisis triggers reallocation both at the industry level and at the firm-level, with non-trivial impacts of the economy’s average productivity. Finally, results suggest that export composition was one of the determinants that contributed to the fact that only Greece ended up defaulting in 2012. The second chapter studies the importance of having flexibility to adjust a broad set of fiscal policy instruments during sovereign debt crises. The motivation comes from the aftermath of Greece’s 2012 sovereign default, when the country had to increase public revenues. Due to a set of exogenous constraints and supranational scrutiny, the adjustment’s burden fell almost exclusively on labor taxes. We build a model of endogenous default with a comprehensive fiscal policy side and with enough structure to allow for heterogeneous impacts of different taxes while keeping computational tractability. The model can replicate the path of the main fiscal variables surrounding the Greek debt restructuring. A key result is that the set of taxes available for policy-making becomes a determinant variable to default decision amid debt crises, even though it plays a minor role during normal times. This contrast reflects the distinct effectiveness of the debt instrument throughout the cycle. Simulations show that this channel is quantitatively relevant for defining default frequencies. Finally, our results suggest an additional channel through which membership in the European Monetary Union may have brought challenges to Greece’s economic recovery following the crisis. |
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Curado, Thiago LuizEscolas::EESPOrnelas, EmanuelPessoa, João PauloSantos, Marcelo Rodrigues dosRodrigues Junior, MauroGuimarães, Bernardo de Vasconcellos2019-08-22T17:34:48Z2019-08-22T17:34:48Z2019-07-19http://hdl.handle.net/10438/27901This thesis studies novel elements that can affect sovereign debt and default decisions, taking into account the interplays between such factors and indebtedness dynamics. The first chapter studies how a surge in sovereign risk induces trade rearrangements and how this channel affects the economic cost of a debt crisis, shaping sovereign default incentives through the business cycle. The motivation comes from the fact that the European debt crises led to strong response in the exports of the southern European countries; despite the absence of exchange rate devaluations throughout the crisis. To study this issue, I present a general equilibrium model of sovereign default with international trade. The model delivers a structural gravity equation that I use to estimate the trade costs of a debt crisis, validate its key mechanism, and disciplines the calibration of the numerical experiments. Simulation results show that (i) the exports channel is quantitatively relevant, (ii) the final impacts depends on the exports sectoral composition and (iii) beyond the aggregate effects, a debt crisis triggers reallocation both at the industry level and at the firm-level, with non-trivial impacts of the economy’s average productivity. Finally, results suggest that export composition was one of the determinants that contributed to the fact that only Greece ended up defaulting in 2012. The second chapter studies the importance of having flexibility to adjust a broad set of fiscal policy instruments during sovereign debt crises. The motivation comes from the aftermath of Greece’s 2012 sovereign default, when the country had to increase public revenues. Due to a set of exogenous constraints and supranational scrutiny, the adjustment’s burden fell almost exclusively on labor taxes. We build a model of endogenous default with a comprehensive fiscal policy side and with enough structure to allow for heterogeneous impacts of different taxes while keeping computational tractability. The model can replicate the path of the main fiscal variables surrounding the Greek debt restructuring. A key result is that the set of taxes available for policy-making becomes a determinant variable to default decision amid debt crises, even though it plays a minor role during normal times. This contrast reflects the distinct effectiveness of the debt instrument throughout the cycle. Simulations show that this channel is quantitatively relevant for defining default frequencies. Finally, our results suggest an additional channel through which membership in the European Monetary Union may have brought challenges to Greece’s economic recovery following the crisis.Esta tese estuda elementos que podem afetar decisões de dívida e default soberanos, considerando-se os impactos simultâneos de tais fatores com a dinâmica de endividamento. O primeiro capítulo estuda como uma elevação no risco soberano induz rearranjos no comércio e como este canal afeta os custos econômicos de uma crise de dívida, moldando os incentivos à default ao longo do ciclo econômico. A motivação vem do fato de que a crise de dívida Europeia implicou forte ajuste nas exportações dos países da periferia da Europa, a despeito da virtual estabilidade da taxa de câmbio no período. Para estudar essa questão, apresento um modelo de equilíbrio geral com default soberano endógeno que inclui elementos de comércio internacional. Os resultados das simulações mostram que (i) o canal das exportações é quantitativamente relevante, (ii) os impactos finais dependem da composição setorial das exportações de um país e (iii) para além dos impactos agregados, uma crise de dívida desencadeia realocações tanto no nível da indústria como no nível firma, com impactos não triviais sobre a produtividade média da economia. Finalmente, os resultados sugerem que a composição setorial foi um dos fatores que contribuíram para o fato de apenas a Grécia ter dado default em 2012. O segundo capítulo estuda a importância de se ter flexibilidade para ajustar amplo conjunto de instrumentos de política fiscal durante uma crise de dívida soberana. A motivação empírica vem das consequências do default soberano de 2012 na Grécia, após o qual o país teve de aumentar as receitas públicas. Em função de um conjunto de restrições exógenas e de escrutínio supranacional, o custo do ajustamento recaiu quase que integralmente via impostos sobre trabalho. Nós construímos um modelo de default endógeno com um lado fiscal completo e com estrutura suficiente para permitir impactos heterogêneos de diferentes taxas. O modelo consegue replicar a trajetória das principais variáveis fiscais em torno da reestruturação da dívida Grega. O resultado principal é que o conjunto de taxas disponível para política econômica se torna uma variável determinante para decisões de default em meio a crises, ao passo em que apresenta um papel secundário em tempos normais. Tal contraste reflete a distinta efetividade do instrumento de dívida ao longo do ciclo.engSovereign defaultTrade balanceExportsFiscal policyMonetary unionDefault soberanoRisco-paísExportaçõesBalança comercialPolítica fiscalUnião monetáriaEconomiaDívida externaDívida públicaExportaçãoBalança comercialPolítica tributáriaUnião monetáriaEssays on sovereign debt crisisinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALtese_doc_com_ficha.pdftese_doc_com_ficha.pdfPDFapplication/pdf11580130https://repositorio.fgv.br/bitstreams/129eab28-06e7-4d2b-bbae-2b0774e53ddb/downloade4e0c45d00df6881cf6a310340c79297MD51LICENSElicense.txtlicense.txttext/plain; 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|
dc.title.eng.fl_str_mv |
Essays on sovereign debt crisis |
title |
Essays on sovereign debt crisis |
spellingShingle |
Essays on sovereign debt crisis Curado, Thiago Luiz Sovereign default Trade balance Exports Fiscal policy Monetary union Default soberano Risco-país Exportações Balança comercial Política fiscal União monetária Economia Dívida externa Dívida pública Exportação Balança comercial Política tributária União monetária |
title_short |
Essays on sovereign debt crisis |
title_full |
Essays on sovereign debt crisis |
title_fullStr |
Essays on sovereign debt crisis |
title_full_unstemmed |
Essays on sovereign debt crisis |
title_sort |
Essays on sovereign debt crisis |
author |
Curado, Thiago Luiz |
author_facet |
Curado, Thiago Luiz |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Ornelas, Emanuel Pessoa, João Paulo Santos, Marcelo Rodrigues dos Rodrigues Junior, Mauro |
dc.contributor.author.fl_str_mv |
Curado, Thiago Luiz |
dc.contributor.advisor1.fl_str_mv |
Guimarães, Bernardo de Vasconcellos |
contributor_str_mv |
Guimarães, Bernardo de Vasconcellos |
dc.subject.eng.fl_str_mv |
Sovereign default Trade balance Exports Fiscal policy Monetary union |
topic |
Sovereign default Trade balance Exports Fiscal policy Monetary union Default soberano Risco-país Exportações Balança comercial Política fiscal União monetária Economia Dívida externa Dívida pública Exportação Balança comercial Política tributária União monetária |
dc.subject.por.fl_str_mv |
Default soberano Risco-país Exportações Balança comercial Política fiscal União monetária |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Dívida externa Dívida pública Exportação Balança comercial Política tributária União monetária |
description |
This thesis studies novel elements that can affect sovereign debt and default decisions, taking into account the interplays between such factors and indebtedness dynamics. The first chapter studies how a surge in sovereign risk induces trade rearrangements and how this channel affects the economic cost of a debt crisis, shaping sovereign default incentives through the business cycle. The motivation comes from the fact that the European debt crises led to strong response in the exports of the southern European countries; despite the absence of exchange rate devaluations throughout the crisis. To study this issue, I present a general equilibrium model of sovereign default with international trade. The model delivers a structural gravity equation that I use to estimate the trade costs of a debt crisis, validate its key mechanism, and disciplines the calibration of the numerical experiments. Simulation results show that (i) the exports channel is quantitatively relevant, (ii) the final impacts depends on the exports sectoral composition and (iii) beyond the aggregate effects, a debt crisis triggers reallocation both at the industry level and at the firm-level, with non-trivial impacts of the economy’s average productivity. Finally, results suggest that export composition was one of the determinants that contributed to the fact that only Greece ended up defaulting in 2012. The second chapter studies the importance of having flexibility to adjust a broad set of fiscal policy instruments during sovereign debt crises. The motivation comes from the aftermath of Greece’s 2012 sovereign default, when the country had to increase public revenues. Due to a set of exogenous constraints and supranational scrutiny, the adjustment’s burden fell almost exclusively on labor taxes. We build a model of endogenous default with a comprehensive fiscal policy side and with enough structure to allow for heterogeneous impacts of different taxes while keeping computational tractability. The model can replicate the path of the main fiscal variables surrounding the Greek debt restructuring. A key result is that the set of taxes available for policy-making becomes a determinant variable to default decision amid debt crises, even though it plays a minor role during normal times. This contrast reflects the distinct effectiveness of the debt instrument throughout the cycle. Simulations show that this channel is quantitatively relevant for defining default frequencies. Finally, our results suggest an additional channel through which membership in the European Monetary Union may have brought challenges to Greece’s economic recovery following the crisis. |
publishDate |
2019 |
dc.date.accessioned.fl_str_mv |
2019-08-22T17:34:48Z |
dc.date.available.fl_str_mv |
2019-08-22T17:34:48Z |
dc.date.issued.fl_str_mv |
2019-07-19 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/27901 |
url |
http://hdl.handle.net/10438/27901 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
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1810024035716694016 |