| Description |
1 online resource (57 pages) |
| Series |
IMF working paper, 1018-5941 ; WP/15/167 |
|
IMF working paper ; WP/15/167.
|
| Contents |
Cover; Abstract; 1 Introduction; 2 Theory; 3 Empirical Specification; 4 Dataset; 5 Estimation; 5.1 Econometric Controls; 5.2 Regression Results; 5.3 Default Premium Estimates; 5.4 Fundamentals vs. Default Premium; 6 Concluding Remarks; A: Appendix I; References |
| Summary |
"The authors re-assesses the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a 'default premium' (DP) that is consistent with asymmetric information models and nests previous metrics, and applies it to a much broader dataset relative to earlier studies. They find a sizeable and persistent DP: in 1870-1938, it averaged 250 bps upon market re-entry, tapering to around 150 bps five years out; in 1970- 2011 the respective estimates are about 400 and 200 bps. They also find that: (i) these estimates are robust to many controls including on actual haircuts; (ii) the DP accounts for as much as 60% of the sovereign spread within five years of market re-entry; (iii) the DP rises with market exclusion spells. These findings help reconnect theory and evidence on why sovereign defaults are infrequent and earlier debt settlements are desirable."--Abstract |
| Notes |
"July 2015." |
| Bibliography |
Includes bibliographical references |
| Subject |
Country risk -- Developing countries
|
|
Debts, Public -- Developing countries
|
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Interest rates -- Developing countries
|
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Country risk
|
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Debts, Public
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Interest rates
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Developing countries
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| Form |
Electronic book
|
| Author |
Mano, Rui C., author.
|
|
International Monetary Fund. Asia and Pacific Department.
|
| ISBN |
1513571362 |
|
9781513571362 |
|
1513523503 |
|
9781513523507 |
|
1513553712 |
|
9781513553719 |
|
