| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3582 |
| DP3582 The Open Economy Phillips Curve: 'New Keynesian' Theory and Evidence | |
| Assaf Razin; Chi-Wa Yuen; Prakash Loungani | |
| 发表日期 | 2002-10-20 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Recent work has suggested that strategic underperformance of debt-service obligations by equity holders can resolve the gap between observed yield spreads and those generated by Merton-style models. We show that this is not quite correct. The value of the option to underperform on debt-service obligations depends on two other optionalities available to equity holders, namely, the option to carry cash reserves within the firm and the option to raise new external financing. We disentangle the effects of the three factors, and characterize the impact of each in isolation as well as their interaction. We find, among other things, that while strategic behavior can increase spreads significantly under some conditions, its impact is negligible in others, and in some cases it even leads to a decline in equilibrium spreads. We show that this last apparently paradoxical result is a consequence of an interaction of optionalities that results in a trade-off between strategic and liquidity-driven defaults. |
| 主题 | Financial Economics |
| 关键词 | Strategic debt-service Interaction of optionalities Liquidity default Strategic default Cash-management |
| URL | https://cepr.org/publications/dp3582 |
| 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/532589 |
| 推荐引用方式 GB/T 7714 | Assaf Razin,Chi-Wa Yuen,Prakash Loungani. DP3582 The Open Economy Phillips Curve: 'New Keynesian' Theory and Evidence. 2002. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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