Heterogeneity in bank valuation of LDC debt: Evidence from the 1988 Brazilian debt-reduction program

• 成果类型: Article
• 署名作者: Demirguc-Kunt, A; Diwan, I; Spiegel, MM
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; The World Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00021-4
• 发表日期: 1997
• 页码: 535-550
• 关键词: sovereign debt; banks; Brady plan

摘要

Using data on bank choices in the 1988 Brazilian debt-reduction deal, we confirm predictable heterogeneity in bank valuation of Brazilian claims. In the presence of a functioning secondary market for LDC debt, the source of this heterogeneity is unclear. We introduce a model in which regulatory concerns influence bank choice, Bank choices in debt reduction programs are aimed at maximizing the magnitude of their transfer from regulatory agencies. As a result, bank choices reflect their characteristics, including financial strength and exposure to the debtor country. The directions of influence correspond to the predictions of our model.