Riesgo de impago y su interacción con los fundamentales: el caso de Grecia

Resumen

Este artículo explica cómo implementar y calibrar un modelo de deuda con mercados incompletos, siguiendo la línea de Eaton y Gersovitz (1981) y Arellano (2008). Para mostrar cómo se puede calibrar dicho modelo, se utiliza un conjunto de datos de la economía griega como ejemplo. A lo largo del artículo, se discute el funcionamiento cuantitativo de dicho modelo, así como posibles extensiones y modificaciones que podrían llevarse a cabo en el mismo.

Palabras clave:

deuda soberana, prima de riesgo, coste de impago, quita de deuda

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