Sovereign Debt Restructurings
成果类型：
Article
署名作者：
Dvorkin, Maximiliano A.; Yurdagul, Emircan; Sanchez, Juan M.; Sapriza, Horacio
署名单位：
Federal Reserve System - USA; Federal Reserve Bank - St. Louis; Federal Reserve System - USA; Federal Reserve System Board of Governors; Universidad Carlos III de Madrid
刊物名称：
AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
ISSN/ISSBN：
1945-7707
DOI：
10.1257/mac.20190220
发表日期：
2021
页码：
26-77
关键词：
摘要：
Sovereign debt crises involve debt restructurings characterized by a mix of face value haircuts and maturity extensions. The prevalence of maturity extensions has been hard to reconcile with economic theory. We develop a model of endogenous debt restructuring that captures key facts of sovereign debt and restructuring episodes. While debt dilution pushes for negative maturity extensions, three factors are important in overcoming the effects of dilution and generating maturity extensions upon restructurings: income recovery after default, credit exclusion after restructuring, and regulatory costs of book value haircuts. We employ dynamic discrete choice methods that allow for smoother decision rules, rendering the problem tractable.
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