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Using the particle filter to perform likelihood\u2010based inference, we estimate the full nonlinear model with post\u2010EMU data until 2010:Q4. We find that (i) the probability of default on Greek debt was in the range of 5\u201310% in 2010:Q4 and (ii) the 2011 surge in the Greek real interest rate is within model forecast bands. The results suggest that a nonlinear rational expectations environment can account for the Greek interest rate path. 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