Arbeitspapier
Maturity, indebtedness, and default risk
We present a novel and tractable model of long-term sovereign debt. We make two sets of contributions. First, on the substantive side, using Argentina as a test case we show that unlike one-period debt models, our model of long-term sovereign debt is capable of accounting for the average spread, the average default frequency, and the average debt-tooutput ratio of Argentina over the 1991-2001 period without any deterioration in the model's ability to account for Argentina's cyclical facts. Using our calibrated model we determine what Argentina's debt, default frequency and welfare would have been if Argentina had issued only short-term debt. Second, on the methodological side, we advance the theory of sovereign debt begun in Eaton and Gersovitz (1981) by establishing the existence of an equilibrium pricing function for long-term sovereign debt and by providing a fairly complete set of characterization results regarding equilibrium default and borrowing behavior. In addition, we identify and solve a computational problem associated with pricing long-term unsecured debt that stems from nonconvexities introduced by the possibility of default.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 0901
- Klassifikation
-
Wirtschaft
- Thema
-
Auslandsverschuldung
Auslandsschuldendienst
Aufstrebende Märkte
Zinsstruktur
Länderrisiko
Theorie
Argentinien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chatterjee, Satyajit
Eyigüngör, Burcu
- Ereignis
-
Veröffentlichung
- (wer)
-
TÜSİAD-Koç University Economic Research Forum
- (wo)
-
Istanbul
- (wann)
-
2009
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chatterjee, Satyajit
- Eyigüngör, Burcu
- TÜSİAD-Koç University Economic Research Forum
Entstanden
- 2009
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