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来源类型Working Paper
规范类型报告
DOI10.3386/w24682
来源IDWorking Paper 24682
Reputation and Sovereign Default
Manuel Amador; Christopher Phelan
发表日期2018-06-11
出版年2018
语种英语
摘要This paper presents a continuous-time model of sovereign debt. In it, a relatively impatient sovereign government's hidden type switches back and forth between a commitment type, which cannot default, and an optimizing type, which can default at any time, and assume outside lenders have particular beliefs regarding how a commitment type should borrow for any given level of debt and bond price. If these beliefs satisfy reasonable assumptions, in any Markov equilibrium, the optimizing type mimics the commitment type when borrowing, revealing its type only by defaulting on its debt at random times. Further, in such Markov equilibria (the solution to a simple pair of ordinary differential equations), there are positive gross issuances at all dates, constant net imports as long as there is a positive equilibrium probability that the government is the optimizing type, and net debt repayment only by the commitment type. For countries that have recently defaulted, the interest rate the country pays on its debt is a decreasing function of the amount of time since its last default, and its total debt is an increasing function of the amount of time since its last default. For countries that have not recently defaulted, interest rates are constant.
主题International Economics ; International Finance
URLhttps://www.nber.org/papers/w24682
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/582355
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GB/T 7714
Manuel Amador,Christopher Phelan. Reputation and Sovereign Default. 2018.
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