Sovereign debt with heterogeneous creditors

• 成果类型: Article; Proceedings Paper
• 署名作者: Dellas, Harris; Niepelt, Dirk
• 署名单位: University of Bern; Study Center Gerzensee; University of Bern
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.12.002
• 发表日期: 2016
• 页码: S16-S26
• 关键词: sovereign debt; Heterogeneous creditors; Debt composition; default; Pari passu; Debt overhang

摘要

We develop a sovereign debt model with heterogeneous creditors (private and official) where the probability of default depends on both the level and the composition of debt. Higher exposure to official lenders improves incentives to repay due to more severe sanctions but it is also costly because it lowers the value of the sovereign's default option. The model can account for the co-existence of private and official lending, the time variation in their shares in total debt as well as the low rates charged on both. It also produces intertwined default and debt-composition choices. (C) 2015 Elsevier B.V. All rights reserved.