Self-Fulfilling Debt Crises: A Quantitative Analysis

We thank Mark Aguiar, Pooyan Ahmadi, Manuel Amador, Cristina Arellano, Juliane Begenau, David Berger, Anmol Bhandari, Javier Bianchi, Hal Cole, Russell Cooper, Satyajit Chatterjee, V.V. Chari, Cosmin Ilut, Patrick Kehoe, Thibaut Lamadon, Ellen McGrattan, Gaston Navarro, Monika Piazzesi, Jesse Schreger, Cédric Tille, Mark Wright, and seminar participants at Berkeley, Board of Governors, Columbia University, CREI, Duke University, Federal Reserve Bank of Chicago, Federal Reserve Bank of Minneapolis, McGill University, North Carolina State, Penn State University, University of Cambridge, University of Maryland, University of Notre Dame, University of Pennsylvania, University of Western Ontario, University of Wisconsin Madison, Chicago Booth junior International Macro conference, SCIEA 2015, University of Rochester conference on the European Sovereign Debt Crisis, Konstanz Seminar for Monetary Theory and Policy, Rome Junior conference on Macroeconomics, University of Zurich conference on the Economics of Sovereign Debt, SED 2015, NBER Summer Institute 2015, ITAM-Pier 2015, NBER within and across border meeting (fall 2015), ASSA 2016, Sciences Po Summer Workshop in International Finance and Macro Finance. Gaston Chaumont, Parisa Kamali, and Tommy Khouang provided excellent research assistance. All errors are our own. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.