Self-Fulfilling Debt Crises with Long Stagnations

We assess the quantitative relevance of expectations-driven sovereign debt crises, focusing on Southern European crisis early 2010’s and Argentine default 2001. The source multiplicity is one in Calvo (1988). Key for an output process featuring long periods either high growth or stagnation that we estimate using data those countries. find crises are quantitatively relevant but state dependent, as they only occur during stagnations. Expectations a major driver explaining rates credit spread differences between Spain Argentina.