Debt relief

• 成果类型: Article
• 署名作者: Hayri, A
• 署名单位: Deloitte Touche Tohmatsu Limited
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00033-1
• 发表日期: 2000
• 页码: 137-152
• 关键词: Brady deals; debt pricing; debt reduction; Debt relief; COMMITMENT

摘要

This paper develops pricing formulae for sovereign debt by incorporating strategic debt relief games into a model of debt pricing under continuous time uncertainty. Two types of debt relief for sovereign borrowers are considered: debt reductions and exit deals. The formulae provide a good fit to the data and generate plausible predictions in a simulation analysis. The paper also examines how the availability of credible commitment mechanisms affects the amount of debt reduction. Compared with the time-consistent equilibrium, creditors would want to commit to a larger, later debt reduction while the debtor would rather have an earlier, smaller debt reduction. (C) 2000 Elsevier Science B.V. All rights reserved.