Long-duration bonds and sovereign defaults

• 成果类型: Article
• 署名作者: Hatchondo, Juan Carlos; Martinez, Leonardo
• 署名单位: International Monetary Fund; Federal Reserve System - USA; Federal Reserve Bank - Richmond
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2009.07.002
• 发表日期: 2009
• 页码: 117-125
• 关键词: Sovereign default; endogenous borrowing constraints; Bond duration; Debt dilution; Markov perfect equilibrium

摘要

This paper extends the baseline framework used in recent quantitative studies of sovereign default by assuming that the government can borrow using long-duration bonds. This contrasts with previous studies, which assume the government can borrow using bonds that mature after one quarter. We show that, when we assume that the government issues bonds with a duration similar to the average duration of sovereign bonds in emerging economies, the model generates an interest rate that is substantially higher and more volatile than the one obtained assuming one-quarter bonds. This narrows the gap between the predictions of the model and the data, which indicates that the introduction of long-duration bonds may be a useful tool for future research about emerging economies. Our analysis is also relevant for the study of other credit markets. (C) 2009 International Monetary Fund. Published by Elsevier B.V. All rights reserved.