SOVEREIGN DEBT RESTRUCTURINGS: DELAYS IN RENEGOTIATIONS AND RISK AVERSE CREDITORS

• 成果类型: Article
• 署名作者: Asonuma, Tamon; Joo, Hyungseok
• 署名单位: International Monetary Fund; University of Surrey
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvz080
• 发表日期: 2020
• 页码: 2394-2440
• 关键词: stochastic-model; default risk; maturity; rates

摘要

Foreign creditors' business cycles influence both the process and the outcome of sovereign debt restructurings. We compile two datasets on creditor committees and chairs and on creditor business and financial cycles at the restructurings. We find that when creditors experience high GDP growth, restructurings are delayed and settled with smaller haircuts. To rationalize these stylized facts, we develop a theoretical model of sovereign debt with multiround renegotiations between a risk averse sovereign debtor and a risk averse creditor. The quantitative analysis of the model shows that high creditor income results in both longer delays in renegotiations and smaller haircuts. Our theoretical predictions are supported by data.