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Mr.Luis CatãoRui Mano
出版International Monetary Fund, 2015-07-21
主題Business & Economics / Finance / Financial Risk ManagementBusiness & Economics / Money & Monetary PolicyBusiness & Economics / Public Finance
ISBN15135537129781513553719
URLhttp://books.google.com.hk/books?id=NJR3CgAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a “default premium” (DP) that is consistent with asymmetric information models and nests previous metrics, and applies it to a much broader dataset relative to earlier studies. We find a sizeable and persistent DP: in 1870-1938, it averaged 250 bps upon market re-entry, tapering to around 150 bps five years out; in 1970- 2011 the respective estimates are about 400 and 200 bps. We also find that: (i) these estimates are robust to many controls including on actual haircuts; (ii) the DP accounts for as much as 60% of the sovereign spread within five years of market re-entry; (iii) the DP rises with market exclusion spells. These findings help reconnect theory and evidence on why sovereign defaults are infrequent and earlier debt settlements are desirable.