The stock of external sovereign debt: Can we take the data at 'face value'?

• 成果类型: Article
• 署名作者: Dias, Daniel A.; Richmond, Christine; Wright, Mark L. J.
• 署名单位: International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - Chicago; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2014.05.001
• 发表日期: 2014
• 页码: 1-17
• 关键词: sovereign debt; Contractual face value; Zero-coupon equivalent face value

摘要

The stock of sovereign debt is typically measured at face value. Defined as the undiscounted sum of future principal repayments, face values are misleading when debts are issued with different contractual forms or maturities. In this paper, we construct alternative measures of the stock of external sovereign debt for 100 developing countries from 1979 through 2006 that correct for differences in contractual form and maturity. We show that our alternative measures: (1) paint a very different quantitative, and in some cases also qualitative, picture of the stock of developing country external sovereign debt; (2) often invert rankings of indebtedness across countries, which historically defined eligibility for debt forgiveness; (3) indicate that the empirical performance of the benchmark quantitative model of sovereign debt deteriorates by roughly 50% once model-consistent measures of debt are used; (4) show how the spread of aggregation clauses in debt contracts that award creditors voting power in proportion to the contractual face value may introduce inefficiencies into the process of restructuring sovereign debts; and (5) illustrate how countries have manipulated their debt issuance to meet fiscal targets written in terms of face values. (C) 2014 Elsevier B.V. All rights reserved.