| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP459
|
| DP459 The Price of LDC Debt |
| Daniel Cohen; Richard Portes
|
| 发表日期 | 1990-09-01
|
| 出版年 | 1990
|
| 语种 | 英语
|
| 摘要 | We study the behaviour of secondary market prices for the debt of seven LDCs for the period March 1986 through November 1989 (monthly data). These prices for long-term debt appear to be driven by a set of `common factors' across countries. One of these is the interest rate, Libor; we found a unit elasticity w.r.t. Libor for the average (across countries) price and for pooled data. The other `common factors' are not correlated with world macro variables, and we call these factors common only to the indebted countries the `systemic risk'. We then study the price of long-term debt relative to that of short-term debt (data for three major countries). The price of short-term debt is influenced neither by `systemic risk' nor by economic factors specific to the debtor country; we conjecture it is driven by local political risk. The results suggest that when it is serviced, long-term debt payments reflect the country's resources (export prices). The decision to service is contingent upon servicing short-term debt and on `systemic risk', which appears not to be a risk of `once-for-all' default but rather a milder form that simply alters on a period-by-period basis, but never irrevocably, the incentive of debtors to service their debt. |
| 主题 | International Macroeconomics
|
| 关键词 | Ldc debt
Secondary market
Systemic risk
|
| URL | https://cepr.org/publications/dp459
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529615
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推荐引用方式
GB/T 7714 |
Daniel Cohen,Richard Portes. DP459 The Price of LDC Debt. 1990.
|
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