Voluntary sovereign debt exchanges

• 成果类型: Article
• 署名作者: Hatchondo, Juan Carlos; Martinez, Leonardo; Padilla, Cesar Sosa
• 署名单位: Indiana University System; Indiana University Bloomington; Federal Reserve System - USA; Federal Reserve Bank - Richmond; McMaster University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.11.002
• 发表日期: 2014
• 页码: 32-50
• 关键词: Sovereign default; Debt restructuring; Voluntary debt exchanges; long-term debt; endogenous borrowing constraints

摘要

We show that some recent sovereign debt restructurings were characterized by (i) the absence of missed debt payments prior to the restructurings, (ii) reductions in the government's debt burden, and (iii) increases in the market value of debt claims for holders of the restructured debt. Since both the government and its creditors are likely to benefit from such restructurings, we label these episodes as voluntary debt exchanges. We present a model in which voluntary debt exchanges can occur in equilibrium when the debt level takes values above the one that maximizes the market value of debt claims. In contrast to previous studies on debt overhang, in our model opportunities for voluntary exchanges arise because a debt reduction implies a decline of the sovereign default risk. This is observed in the absence of any effect of debt reductions on future output levels. Although voluntary exchanges are Pareto improving at the time of the restructuring, we show that eliminating the possibility of conducting voluntary exchanges may improve welfare from an ex ante perspective. Thus, our results highlight a cost of initiatives that facilitate debt restructurings. (C) 2013 Elsevier B.V. All rights reserved.