Back to Search

A new estimation technique of sovereign default risk

Title	A new estimation technique of sovereign default risk
Author	Soytaş, Mehmet Ali, Volkan, Engin
Publication Date:	2016-12-27
Publication Place	- Elsevier
Subject	Sovereign default risk, Hotz-Miller estimation, Endogenous default risk, Conditional choice probabilities
Type	Periodical
Language	English
Digital	Yes
Manuscript	No
Library:	Özyeğin University
Library Asset ID	2-s2.0-85064560624
Record ID	69e0a085-12f4-43c5-a81b-936256b989b2
Library Location	Economics
Date	2016-12-27
Notes	TÜBİTAK
Sample Text	Using the fixed-point theorem, sovereign default models are solved by numerical value function iteration and calibration methods, which due to their computational constraints, greatly limits the models' quantitative performance and foregoes its country-specific quantitative projection ability. By applying the Hotz-Miller estimation technique (Hotz and Miller, 1993)- often used in applied microeconometrics literature- to dynamic general equilibrium models of sovereign default, one can estimate the ex-ante default probability of economies, given the structural parameter values obtained from country-specific business-cycle statistics and relevant literature. Thus, with this technique we offer an alternative solution method to dynamic general equilibrium models of sovereign default to improve upon their quantitative inference ability.
DOI	10.1016/j.cbrev.2016.11.002
Cilt	16

View in source Özyeğin University Özyeğin University - Historical works, archives, and periodicals search engine

Özyeğin University

A new estimation technique of sovereign default risk

Author Soytaş, Mehmet Ali, Volkan, Engin

Publication Date 2016-12-27

Publication Place - Elsevier

Subject Sovereign default risk, Hotz-Miller estimation, Endogenous default risk, Conditional choice probabilities

Type Periodical

Language English

Digital Yes

Manuscript No

Library Özyeğin University

Library Asset ID 2-s2.0-85064560624

Record ID 69e0a085-12f4-43c5-a81b-936256b989b2

Library Location Economics

Date 2016-12-27

Notes TÜBİTAK

Sample Text Using the fixed-point theorem, sovereign default models are solved by numerical value function iteration and calibration methods, which due to their computational constraints, greatly limits the models' quantitative performance and foregoes its country-specific quantitative projection ability. By applying the Hotz-Miller estimation technique (Hotz and Miller, 1993)- often used in applied microeconometrics literature- to dynamic general equilibrium models of sovereign default, one can estimate the ex-ante default probability of economies, given the structural parameter values obtained from country-specific business-cycle statistics and relevant literature. Thus, with this technique we offer an alternative solution method to dynamic general equilibrium models of sovereign default to improve upon their quantitative inference ability.

DOI 10.1016/j.cbrev.2016.11.002

Cilt 16