IMF on the properties of sovereign default models
The IMF has published research studying the sovereign default model that has been used to account for the cyclical behaviour of interest rates in emerging-market economies.
This model is often solved using the discrete state space technique with evenly spaced grid points.
The research finds that the efficiency of the discrete state space technique can be greatly improved by finding the equilibrium as the limit of the equilibrium of the finite-horizon version of the model, instead of iterating
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