| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2850 |
| DP2850 Price Wars in Finite Sequential Move Price Competition | |
| Klaus Wallner | |
| 发表日期 | 2001-06-18 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We investigate the pricing of ?Brady? bonds that are issued by the governments of five developing countries as part of debt and debt service reduction agreements. We first present a measure of credit quality that takes account of the individual features of each bond and is comparable across bonds, across issuers, and over time. We then examine the evolution of the credit quality of each debt instrument from 1990 until the beginning of 2000. Next, we present evidence of a profitable trading strategy that exploits the information contained in this measure of credit quality. |
| 主题 | International Macroeconomics |
| 关键词 | Default risk Mispricing Market efficiency Sovereign debt Brady bonds |
| URL | https://cepr.org/publications/dp2850 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531894 |
| 推荐引用方式 GB/T 7714 | Klaus Wallner. DP2850 Price Wars in Finite Sequential Move Price Competition. 2001. |
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