A new estimation technique of sovereign default risk

Name: A new estimation technique of sovereign default risk
Author: Soytaş, Mehmet Ali, Volkan, Engin

İsim	A new estimation technique of sovereign default risk
Yazar	Soytaş, Mehmet Ali, Volkan, Engin
Basım Tarihi:	2016-12-27
Basım Yeri	- Elsevier
Konu	Sovereign default risk, Hotz-Miller estimation, Endogenous default risk, Conditional choice probabilities
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	2-s2.0-85064560624
Kayıt Numarası	69e0a085-12f4-43c5-a81b-936256b989b2
Lokasyon	Economics
Tarih	2016-12-27
Notlar	TÜBİTAK
Örnek Metin	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

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A new estimation technique of sovereign default risk

Yazar Soytaş, Mehmet Ali, Volkan, Engin

Basım Tarihi 2016-12-27

Basım Yeri - Elsevier

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

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 2-s2.0-85064560624

Kayıt Numarası 69e0a085-12f4-43c5-a81b-936256b989b2

Lokasyon Economics

Tarih 2016-12-27

Notlar TÜBİTAK

Örnek Metin 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