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| HAL : halshs-00692038, version 1 |
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| The sovereign default puzzle: Modelling issues and lessons for Europe |
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| Daniel Cohen 1, 2Sébastien Villemot 1, 2 |
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| (04/2012) |
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| Why do countries default? this seemingly simple question has yet to be adequately answered in the literature. Indeed, prevailing modelling strategies compel the to choose between two enappealing model features: depending on the cost of default selected by the modeler, either the debt ratios are too high and the probability of default is toot low or the opposite is true. In view of the historical evidence that countries always default is too low or crisis, we propose a novel approach to the theory of debt default and develop a model that matches the key stylized facts regarding sovereign risk. |
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| 1 : | Paris-Jourdan Sciences Economiques (PSE) |
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CNRS : UMR8545 – École des Hautes Études en Sciences Sociales [EHESS] – Ecole des Ponts ParisTech – Ecole normale supérieure de Paris - ENS Paris – Institut national de la recherche agronomique (INRA) |
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| 2 : | Ecole d'Économie de Paris - Paris School of Economics (EEP-PSE) |
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Ecole d'Économie de Paris |
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| Discipline | : | Sciences de l'Homme et Société/Economie et finances |
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| Sovereign debt – Lévy stochastic processes |
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| Liste des fichiers attachés à ce document : | |||||
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| halshs-00692038, version 1 | |
| http://halshs.archives-ouvertes.fr/halshs-00692038 | |
| oai:halshs.archives-ouvertes.fr:halshs-00692038 | |
| Contributeur : Caroline Bauer | |
| Soumis le : Vendredi 27 Avril 2012, 16:56:18 | |
| Dernière modification le : Jeudi 3 Mai 2012, 08:53:36 | |
