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Online Appendix to "Quantitative properties of sovereign default models: solution methods"

Author

Listed:
  • Juan Carlos Hatchondo

    (Federal Reserve Bank of Richmond)

  • Leonardo Martinez

    (International Monetary Fund)

  • Horacio Sapriza

    (Federal Reserve Board of Governors)

Abstract

This document describes how we evaluate the accuracy of the solution of the baseline sovereign default model using the test proposed by den Haan and Marcet (1994). We show that the solutions obtained using Chebyshev collocation and cubic spline interpolation approximate the equilibrium with reasonable accuracy and illustrate the challenges that arise when the test is applied to the solution obtained using the discrete state space technique.

Suggested Citation

  • Juan Carlos Hatchondo & Leonardo Martinez & Horacio Sapriza, 2010. "Online Appendix to "Quantitative properties of sovereign default models: solution methods"," Technical Appendices 08-133, Review of Economic Dynamics.
  • Handle: RePEc:red:append:08-133
    Note: The original article was published in the Review of Economic Dynamics
    as

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    File URL: https://economicdynamics.org/appendix/08/08-133/dm_test_issues.pdf
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    JEL classification:

    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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