| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP6074
|
| DP6074 Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day |
| Kristian Rydqvist; Qinglei Dai
|
| 发表日期 | 2007-02-14
|
| 出版年 | 2007
|
| 语种 | 英语
|
| 摘要 | Conventional wisdom says that, in the absence of sufficient default penalties, sovereign risk constraints credit and lowers welfare. We show that this conventional wisdom rests on one implicit assumption: that assets cannot be retraded in secondary markets. Once this assumption is relaxed, there is always an equilibrium in which sovereign risk is stripped of its conventional effects. In such an equilibrium, foreigners hold domestic debts and resell them to domestic residents before enforcement. In the presence of (even arbitrarily small) default penalties, this equilibrium is shown to be unique. As a result, sovereign risk neither constrains welfare nor lowers credit. At most, it creates some additional trade in secondary markets. The results presented here suggest a change in perspective regarding the origins of sovereign risk and its remedies. To argue that sovereign risk constrains credit, one must show both the insufficiency of default penalties and the imperfect workings of secondary markets. To relax credit constraints created by sovereign risk, one can either increase default penalties or improve the workings of secondary markets. |
| 主题 | International Macroeconomics
|
| 关键词 | Commitment
Default penalties
International borrowing
international risk sharing
Secondary markets
Sovereign risk
|
| URL | https://cepr.org/publications/dp6074
|
| 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/534913
|
推荐引用方式
GB/T 7714 |
Kristian Rydqvist,Qinglei Dai. DP6074 Investigation of the Costly-Arbitrage Model of Price Formation Around the Ex-Dividend Day. 2007.
|
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
