Mehmet Ali SOYTAŞ, Engin VOLKAN

3712

Dış Borç İflas Modellerinin Tahmini için Yarı-İndirgenmiş Bir Karakterizasyon

Bu proje uygulamalı mikroekonometri literatüründe sıkça kullanılan Hotz-Miller tahmin tekniğinin (Hotz ve Miller 1993) dış borç iflas modellerine adapte edilebilirliği için gerekli teorik çıkarımları ortaya koymaktadır. Dış borç iflas modelleri sabit nokta (fixed-point) teoremine dayandırılarak "kalibrasyon ve değer fonksiyon iterasyonu" tekniği ile numerik olarak çözülmektedir. Bu teori ve çözüm yöntemi yarattığı hesaba dayalı teknik kısıtlardan dolayı modellerin kantitatif alanda performansını sınırlı kılmakta, kantitatif tahmin özelliğinden yoksun bırakmaktadır. Hotz-Miller tekniği, kesintili seçimli (discrete choice) rekürsif rekabetçi kısmi (belli koşullar altında genel) denge modellerinin yapısal parametre değerlerini-kesintili seçim olarak adlandırdığımız endojen kararın gerçek olasılığını ve gerekli diğer gerçek verileri kullanarak-tahmin ederken, modeli çözümüne büyük kısıtlar getiren sabit nokta teoreminden kurtarmaktadır. Bu makalede bu tekniğe ters mühendislik uygulanarak, ülkelerin iş çevrim modellerinden tahmin edilen yapısal parametre değerlerine karşılık gelen öncül iflas riski ve iflas olasılığı fonksiyonlarının tahmin edilebileceği teorik olarak gösterilmiştir. Bu teorik çerçeve kullanılarak, iflas olasılığı fonksiyonunda model ülkenin gelir ve dış borç seviyesi kullanılarak, dış borç iflas literatüründe elde edilen kalitatif sonuçlar birebir üretilebilir. Bu teknikle modellerin etki alanları arttırılarak dış borç genel denge modelleri geliştirilmeye açık hale gelmektedir.

A Semi-Reduced Form Characterization of Sovereign Default Risk Models

This project adopts the Hotz-Miller estimation technique (Hotz and Miller 1993), often used in applied micro-econometrics literature, into sovereign default models. Using the fixed-point theorem, sovereign default models are solved by "calibration and value function iteration" method, which due to its computational constraints, greatly limits the models' quantitative performance and completely foregoes its quantitative projection ability. Hotz-Miller technique estimates the structural parameter values of recursive competitive partial (under some conditions general) equilibrium models with discrete choice, given the actual probability of the (discrete) endogenous choice and actual data. In this paper, by reverse engineering the technique, given the structural parameter values estimated from business-cycle models, it is theoretically shown that the ex-ante default probabilities can be estimated. The estimated default probabilities are functions of income and debt level, characteristically displaying a one-to-one similarity to those in the default literature. Additionally, the simulation results, such as average default probability, risk spread, debt-to-output ratio and a number of business cycle statistics, can be obtained from model estimates. In this respect this paper contributes to default literature with a new estimation technique. Moreover, with this technique, not only the computational constraints of the fixed-point theorem will be bypassed but also the quantitative inference ability of sovereign default models will be improved.

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Finans Politik ve Ekonomik Yorumlar Dergisi-Cover
  • ISSN: 1307-7112
  • Yayın Aralığı: Yılda 4 Sayı
  • Başlangıç: 1963
  • Yayıncı: İSTANBUL OKAN ÜNİVERSİTESİ
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