Behaviour of output and determinants during pure sovereign debt crises

• Autor(a) principal: Alves, Ana Margarida Matias da Silva
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10071/24247
• topic: Economic growth; Sovereign debt crises; Pure crises; Crescimento económico -- Economic growth; Crises de dívida soberana; Crises puras

The current dissertation has the purpose to determine the macroeconomic determinants during pure sovereign debt crises and analyse their association with the behaviour of output, in the 1970-2017 period. Three different methods to measure economic growth were constructed, based on output variation and on detrend-output, with the Hodrick-Prescott and the Baxter-King filters. In 90 episodes, occurred in 54 countries, our findings revealed that: in 56% of total crises, there was an acceleration (expansionary crises), and in 44% there was a deceleration (contractionary crises) of the economic growth; expansionary crises prevailed in low- as well in middle-high-income countries; the 1980s were the decade with most severe crises. Countries with higher short-term debt, as a percentage of reserves, terms of trade, public debt and overvaluation of the real effective exchange rate, were the most susceptible to a slowdown in growth. A complementary study was implemented with the purpose of understanding the behaviour of the significant determinants in periods with no occurrence of crises. It was possible to conclude that external debt-to-GDP ratio and short-term debt-to-reserves, lead to a drop in growth in crisis periods, as well as in periods with no crisis’ episodes, with the impact increasing considerably in times of crisis. As robustness examination, the study was re-estimated with a different criterion of defining pure sovereign debt crisis, and alternative dummies were included in the regression, namely decades and income-level dummies. Results are robust for all estimations.