Sovereign default and debt renegotiation

• 成果类型: Article
• 署名作者: Yue, Vivian Z.
• 署名单位: New York University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.11.004
• 发表日期: 2010
• 页码: 176-187
• 关键词: Sovereign default; Debt renegotiation; Recovery rate; Sovereign debt spreads

摘要

This paper develops a small open economy model to study sovereign default and debt renegotiation for emerging economies The model features both endogenous default and endogenous debt recovery rates Sovereign bonds are priced to compensate creditors for the risk of default and the risk of debt restructuring The model captures the interaction between sovereign default and ex post debt renegotiation We find that both debt recovery rates and sovereign bond prices decrease with the level of debt In a quantitative analysis, the model accounts for the debt reduction, volatile and countercyclical bond spreads, countercyclical trade balance, and other empirical regularities of the Argentine economy. The model also replicates the dynamics of bond spreads during the debt crisis in Argentina (C) 2009 Elsevier BV All rights reserved