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Replication data for: The Costs of Sovereign Default: Evidence from Argentina
Principal Investigator(s): View help for Principal Investigator(s) Benjamin Hébert; Jesse Schreger
Version: View help for Version V1
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Project Citation:
Hébert, Benjamin, and Schreger, Jesse. Replication data for: The Costs of Sovereign Default: Evidence from Argentina. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113111V1
Project Description
Summary:
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We estimate the causal effect of sovereign default on the equity returns of Argentine firms. We identify this effect by exploiting changes in the probability of Argentine sovereign default induced by legal rulings in the case of NML Capital, Ltd. v. Republic of Argentina. We find that a 10 percent increase in the probability of default causes a 6 percent decline in the value of Argentine equities and a 1 percent depreciation of a measure of the exchange rate. We examine the channels through which a sovereign default may affect the economy.
Scope of Project
JEL Classification:
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D22 Firm Behavior: Empirical Analysis
F31 Foreign Exchange
F34 International Lending and Debt Problems
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
O14 Industrialization; Manufacturing and Service Industries; Choice of Technology
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
O19 International Linkages to Development; Role of International Organizations
D22 Firm Behavior: Empirical Analysis
F31 Foreign Exchange
F34 International Lending and Debt Problems
G32 Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
O14 Industrialization; Manufacturing and Service Industries; Choice of Technology
O16 Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
O19 International Linkages to Development; Role of International Organizations
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