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  • 1
    Online Resource
    Online Resource
    Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics (2016)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1791724302
    Format: 1 Online-Ressource (49 p)
    Series Statement: IMF Working Paper No. 16/37
    Content: Emerging countries experience real exchange rate depreciations around defaults. In this paper, we examine this observed pattern empirically and through the lens of a dynamic stochastic general equilibrium model. The theoretical model explicitly incorporates bond issuances in local and foreign currencies, and endogenous determination of real exchange rate and default risk. Our quantitative analysis replicates the link between real exchange rate depreciation and default probability around defaults and moments of the real exchange rate that match the data. Prior to default, interactions of real exchange rate depreciation, originated from a sequence of low tradable goods shocks with the sovereign's large share of foreign currency debt, trigger defaults. In post-default periods, the resulting output costs and loss of market access due to default lead to further real exchange rate depreciation
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2016 erstellt
    Language: English
    DOI: 10.2139/ssrn.2754942
    URL: kostenfrei
    URL: kostenfrei
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    BSZ
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  • 2
    Online Resource
    Online Resource
    Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics / (2016)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    (DE-602)edoccha_9958074511102883
    Format: 1 online resource (49 pages)
    ISBN: 1-4983-8762-4 , 1-4755-2229-0 , 1-4983-8839-6
    Series Statement: IMF Working Papers
    Content: Emerging countries experience real exchange rate depreciations around defaults. In this paper, we examine this observed pattern empirically and through the lens of a dynamic stochastic general equilibrium model. The theoretical model explicitly incorporates bond issuances in local and foreign currencies, and endogenous determination of real exchange rate and default risk. Our quantitative analysis replicates the link between real exchange rate depreciation and default probability around defaults and moments of the real exchange rate that match the data. Prior to default, interactions of real exchange rate depreciation, originated from a sequence of low tradable goods shocks with the sovereign’s large share of foreign currency debt, trigger defaults. In post-default periods, the resulting output costs and loss of market access due to default lead to further real exchange rate depreciation.
    Note: Cover -- Contents -- I. Introduction -- II. Stylized Facts -- A. Real Exchange Rate Dynamics around Defaults/Restructurings -- B. Empirical Analysis of the Link -- III. Model Environment -- A. Intuition -- B. General Points -- C. Timing of the Model -- D. Fixed Share of Foreign Currenc yDebt -- IV. Recursive Equilibrium -- A. Sovereign Country's Problem -- B. The Foreign Creditor's Problem -- C. Bond Prices and Real Exchange Rate -- D. Market Clearing Conditions for Bonds and Goods -- E. Recursive Equilibrium -- V. Quantitative Analysis -- A. Parameters and Functional Forms -- B. Numerical Results on Equilibrium Properties -- C. Simulation-Argentina -- D. Comparison with the Model of a Risk-neutral Creditor -- E. Policy Implication - Share of Domestic Currency Debt -- VI. Conclusion -- References -- Figures -- 1. Real Exchange Rates Against the US Dollar Before and After Defaults/Restructurings -- 2. Timing of the Model -- 3. Share of Foreign Currency Debt Before and After Defaults or Announcements of Restructurings -- 4. Default Probability -- 5. Real Exchange Rates -- 6. Real Exchange Rates Dynamics -- Tables -- 1. Regression Results on Pre-Default Period -- 2. Regression Results on Post-Default Period -- 3. Model Parameters -- 4. Business Cycle Statistics for Argentina -- 5. Non-Business Cycle Statistics for Argentina -- 6. Statistics for Bond Spreads -- 7. Share of Domestic Currency Debt and Key Non-Business Cycle Statistics -- Appendixes -- I. Computation Algorithm -- II. Data and Empirical Analysis in Section II -- III. Share of Foreign Currency Debt -- IV. Figures and Calibrated Moments for Bond Prices -- V. Sensitivity Analysis-Income Processes and Elasticity of Substitution.
    Additional Edition: ISBN 1-4755-9773-8
    Language: English
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    Charité
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  • 3
    Online Resource
    Online Resource
    Serial Sovereign Defaults and Debt Restructurings (2016)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)1791693156
    Format: 1 Online-Ressource (46 p)
    Series Statement: IMF Working Paper No. 16/66
    Content: Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These countries actually have repeated defaults or restructurings in short periods. This paper explains these stylized facts within a dynamic stochastic general equilibrium framework by explicitly modeling renegotiations between a defaulting country and its creditors. The quantitative analysis of the model reveals that the equilibrium probability of default for a given debt-to-GDP level is weakly increasing with the number of past defaults. The model also accords with an additional fact: lower recovery rates (high NPV haircuts) are associated with increases in spreads at renegotiation
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 2016 erstellt
    Language: English
    DOI: 10.2139/ssrn.2775296
    URL: kostenfrei
    URL: kostenfrei
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  • 4
    Online Resource
    Online Resource
    Sovereign Defaults, External Debt and Real Exchange Rate Dynamics (2014)
    [S.l.] : SSRN
    Details
    UID:
    (DE-627)179230482X
    Format: 1 Online-Ressource (42 p)
    Content: Emerging countries experience real exchange rate depreciations around defaults. In this paper, we examine this observed pattern empirically and through the lens of a dynamic stochastic general equilibrium model. The theoretical model explicitly incorporates bond issuances in local and foreign currencies, and endogenous determination of real exchange rate and default risk. Our quantitative analysis, using the case of Argentina's default in 2001, replicates the link between real exchange rate depreciation and default probability around defaults and moments of the real exchange rate that match the data. Prior to default, interactions of real exchange rate depreciation, originated from a sequence of low tradable goods shocks with the sovereign's large share of foreign currency debt, trigger defaults. In post-default periods, the resulting output costs and loss of market access due to default lead to further real exchange rate depreciation
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 23, 2014 erstellt
    Language: English
    DOI: 10.2139/ssrn.2416437
    URL: kostenfrei
    URL: kostenfrei
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    Online Resource
    Open Access Request
    BSZ
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  • 5
    Online Resource
    Online Resource
    Serial sovereign defaults and debt restructurings (2016)
    [Washington, D.C.] : International Monetary Fund
    Details
    UID:
    (DE-602)gbv_896074668
    Format: 1 Online-Ressource (circa 46 Seiten) , Illustrationen
    ISBN: 9781513596648
    Series Statement: IMF working paper WP/16, 66
    Content: Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These countries actually have repeated defaults or restructurings in short periods. This paper explains these stylized facts within a dynamic stochastic general equilibrium framework by explicitly modeling renegotiations between a defaulting country and its creditors. The quantitative analysis of the model reveals that the equilibrium probability of default for a given debt-to-GDP level is weakly increasing with the number of past defaults. The model also accords with an additional fact: lower recovery rates (high NPV haircuts) are associated with increases in spreads at renegotiation
    Additional Edition: Erscheint auch als Druck-Ausgabe Asonuma, Tamon Serial Sovereign Defaults and Debt Restructurings Washington, D.C. : International Monetary Fund, 2016 ISBN 9781513596648
    Language: English
    Keywords: Arbeitspapier ; Graue Literatur
    DOI: 10.5089/9781513596648.001
    URL: kostenfrei
    URL: Volltext
    URL: Volltext
    URL: kostenfrei
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  • 6
    Online Resource
    Online Resource
    Sovereign defaults, external debt, and real exchange rate dynamics (2016)
    [Washington, D.C.] : International Monetary Fund
    Details
    UID:
    (DE-627)848731824
    Format: 1 Online-Ressource (circa 48 Seiten) , Illustrationen
    ISBN: 9781475597738
    Series Statement: IMF working paper WP/16/37
    Content: Emerging countries experience real exchange rate depreciations around defaults. In this paper, we examine this observed pattern empirically and through the lens of a dynamic stochastic general equilibrium model. The theoretical model explicitly incorporates bond issuances in local and foreign currencies, and endogenous determination of real exchange rate and default risk. Our quantitative analysis replicates the link between real exchange rate depreciation and default probability around defaults and moments of the real exchange rate that match the data. Prior to default, interactions of real exchange rate depreciation, originated from a sequence of low tradable goods shocks with the sovereign's large share of foreign currency debt, trigger defaults. In post-default periods, the resulting output costs and loss of market access due to default lead to further real exchange rate depreciation
    Additional Edition: Erscheint auch als Druck-Ausgabe Asonuma, Tamon Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics Washington, D.C. : International Monetary Fund, 2016 9781475597738
    Language: English
    Keywords: Arbeitspapier ; Graue Literatur
    DOI: 10.5089/9781475597738.001
    URL: kostenfrei
    URL: Volltext
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
    Online Resource
    Online Access
    Open Access Request
    Stabi Berlin
    BSZ
    GBV
  • 7
    Online Resource
    Online Resource
    Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics. (2016)
    Washington, D. C. : International Monetary Fund
    Details
    UID:
    (DE-627)1682677869
    Format: 1 online resource (49 pages)
    ISBN: 9781498388399
    Content: Emerging countries experience real exchange rate depreciations around defaults. In this paper, we examine this observed pattern empirically and through the lens of a dynamic stochastic general equilibrium model. The theoretical model explicitly incorporates bond issuances in local and foreign currencies, and endogenous determination of real exchange rate and default risk. Our quantitative analysis replicates the link between real exchange rate depreciation and default probability around defaults and moments of the real exchange rate that match the data. Prior to default, interactions of real exchange rate depreciation, originated from a sequence of low tradable goods shocks with the sovereign's large share of foreign currency debt, trigger defaults. In post-default periods, the resulting output costs and loss of market access due to default lead to further real exchange rate depreciation.
    Content: Cover -- Contents -- I. Introduction -- II. Stylized Facts -- A. Real Exchange Rate Dynamics around Defaults/Restructurings -- B. Empirical Analysis of the Link -- III. Model Environment -- A. Intuition -- B. General Points -- C. Timing of the Model -- D. Fixed Share of Foreign Currenc yDebt -- IV. Recursive Equilibrium -- A. Sovereign Country's Problem -- B. The Foreign Creditor's Problem -- C. Bond Prices and Real Exchange Rate -- D. Market Clearing Conditions for Bonds and Goods -- E. Recursive Equilibrium -- V. Quantitative Analysis -- A. Parameters and Functional Forms -- B. Numerical Results on Equilibrium Properties -- C. Simulation-Argentina -- D. Comparison with the Model of a Risk-neutral Creditor -- E. Policy Implication - Share of Domestic Currency Debt -- VI. Conclusion -- References -- Figures -- 1. Real Exchange Rates Against the US Dollar Before and After Defaults/Restructurings -- 2. Timing of the Model -- 3. Share of Foreign Currency Debt Before and After Defaults or Announcements of Restructurings -- 4. Default Probability -- 5. Real Exchange Rates -- 6. Real Exchange Rates Dynamics -- Tables -- 1. Regression Results on Pre-Default Period -- 2. Regression Results on Post-Default Period -- 3. Model Parameters -- 4. Business Cycle Statistics for Argentina -- 5. Non-Business Cycle Statistics for Argentina -- 6. Statistics for Bond Spreads -- 7. Share of Domestic Currency Debt and Key Non-Business Cycle Statistics -- Appendixes -- I. Computation Algorithm -- II. Data and Empirical Analysis in Section II -- III. Share of Foreign Currency Debt -- IV. Figures and Calibrated Moments for Bond Prices -- V. Sensitivity Analysis-Income Processes and Elasticity of Substitution.
    Note: Description based on publisher supplied metadata and other sources
    Additional Edition: 9781475597738
    Additional Edition: Erscheint auch als Druck-Ausgabe 9781475597738
    Language: English
    URL: lizenzpflichtig
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    BSZ
    GBV
  • 8
    Online Resource
    Online Resource
    Serial Sovereign Defaults and Debt Restructurings. (2016)
    Washington, D. C. : International Monetary Fund
    Details
    UID:
    (DE-627)168261378X
    Format: 1 online resource (46 pages)
    ISBN: 9781475521818
    Content: Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These countries actually have repeated defaults or restructurings in short periods. This paper explains these stylized facts within a dynamic stochastic general equilibrium framework by explicitly modeling renegotiations between a defaulting country and its creditors. The quantitative analysis of the model reveals that the equilibrium probability of default for a given debt-to-GDP level is weakly increasing with the number of past defaults. The model also accords with an additional fact: lower recovery rates (high NPV haircuts) are associated with increases in spreads at renegotiation.
    Content: Cover -- Contents -- Introduction -- II. Literature Review -- III. Five New Stylized Facts on Serial Sovereign Defaults and Debt Restructurings -- A. Sovereign Debt Defaulters and Non-Defaulters - EMs -- B. Serial Sovereign Defaults and Debt Restructurings -- IV. Model Environment -- A. General Points -- B. Timing of the Model -- V. Recursive Equilibrium -- A. Sovereign Country's Problem -- B. Debt Renegotiation Problem -- C. Foreign Investors' Problem -- D. Recursive Equilibrium -- VI. Quantitative Analysis -- A. Parameters and Functional Forms -- B. Numerical Results on Equilibrium Properties -- C. Simulation Results -- D. Decomposition of Interest Spreads -- E. Brief Summary of the Quantitative Analysis -- VII. Model implications -- A. Determinants of the Slope of the Contract Curve -- B. Duration and Size of Additional Spread Premia -- VIII. Conclusion -- Figures -- 1. External Debt/GDP, Bond Spreads, and Credit Ratings, Average 2005-10 -- 2. Recovery Rates and Increases in Spreads for Recent Debt Restructurings -- 3. Timing of the Model -- 4. Relationship Between Increase in Interest Spreads and Recovery Rates -- 5. Default Probability under Baseline Case -- 6. Bond Price Schedule under Baseline Case -- 7. Total Spreads and Spreads Based on "Pure" Default Probability -- A1. Relationship between Increase in the Interest Spreads and Recovery Rates -- A2. Relationship between Increase in the Interest Spreads and Recovery Rates in Yue (2010) -- Tables -- 1. Regression Results on Bond Spreads and Credit Ratings -- 2. Serial Sovereign Defaults and Debt Restructurings in 1978-2010 -- 3. Regression Results on Recovery Rates -- 4. Model Parameters -- 5. Business Cycle Statistics for Argentina -- 6. Model Statistics for Argentina -- 7. Average Time Spans between Defaults -- 8. Values of the Slope of the Contract Curve under Different Parameter Values.
    Note: Description based on publisher supplied metadata and other sources
    Additional Edition: 9781513596648
    Additional Edition: Erscheint auch als Druck-Ausgabe 9781513596648
    Language: English
    URL: lizenzpflichtig
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    BSZ
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  • 9
    Online Resource
    Online Resource
    Serial Sovereign Defaults and Debt Restructurings / (2016)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    (DE-602)almafu_9958089093302883
    Format: 1 online resource (46 pages)
    ISBN: 1-4755-2469-2 , 1-4755-6195-4 , 1-4755-2181-2
    Series Statement: IMF Working Papers
    Content: Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These countries actually have repeated defaults or restructurings in short periods. This paper explains these stylized facts within a dynamic stochastic general equilibrium framework by explicitly modeling renegotiations between a defaulting country and its creditors. The quantitative analysis of the model reveals that the equilibrium probability of default for a given debt-to-GDP level is weakly increasing with the number of past defaults. The model also accords with an additional fact: lower recovery rates (high NPV haircuts) are associated with increases in spreads at renegotiation.
    Note: Cover -- Contents -- Introduction -- II. Literature Review -- III. Five New Stylized Facts on Serial Sovereign Defaults and Debt Restructurings -- A. Sovereign Debt Defaulters and Non-Defaulters - EMs -- B. Serial Sovereign Defaults and Debt Restructurings -- IV. Model Environment -- A. General Points -- B. Timing of the Model -- V. Recursive Equilibrium -- A. Sovereign Country's Problem -- B. Debt Renegotiation Problem -- C. Foreign Investors' Problem -- D. Recursive Equilibrium -- VI. Quantitative Analysis -- A. Parameters and Functional Forms -- B. Numerical Results on Equilibrium Properties -- C. Simulation Results -- D. Decomposition of Interest Spreads -- E. Brief Summary of the Quantitative Analysis -- VII. Model implications -- A. Determinants of the Slope of the Contract Curve -- B. Duration and Size of Additional Spread Premia -- VIII. Conclusion -- Figures -- 1. External Debt/GDP, Bond Spreads, and Credit Ratings, Average 2005-10 -- 2. Recovery Rates and Increases in Spreads for Recent Debt Restructurings -- 3. Timing of the Model -- 4. Relationship Between Increase in Interest Spreads and Recovery Rates -- 5. Default Probability under Baseline Case -- 6. Bond Price Schedule under Baseline Case -- 7. Total Spreads and Spreads Based on "Pure" Default Probability -- A1. Relationship between Increase in the Interest Spreads and Recovery Rates -- A2. Relationship between Increase in the Interest Spreads and Recovery Rates in Yue (2010) -- Tables -- 1. Regression Results on Bond Spreads and Credit Ratings -- 2. Serial Sovereign Defaults and Debt Restructurings in 1978-2010 -- 3. Regression Results on Recovery Rates -- 4. Model Parameters -- 5. Business Cycle Statistics for Argentina -- 6. Model Statistics for Argentina -- 7. Average Time Spans between Defaults -- 8. Values of the Slope of the Contract Curve under Different Parameter Values. , 9. Statistics for Different Levels of Upgrading in Credit History and Additional Spread Premia -- A1. Regression Results on Newly Issued Bonds over 2005-11 -- A2. Regression of EMBIG Yields on LIBOR and ICRG Ratings -- Appendices -- I. Computation Algorithm -- II. Yields on Newly Issued Bonds for Defaulters and Non-Defaulters -- III. Extrapolation Method of EMBIG Spreads -- IV. Figures at Steady State Distributions.
    Additional Edition: ISBN 1-5135-9664-0
    Language: English
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    FU Berlin
    KOBV
  • 10
    Online Resource
    Online Resource
    Serial Sovereign Defaults and Debt Restructurings / (2016)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    (DE-602)edoccha_9958089093302883
    Format: 1 online resource (46 pages)
    ISBN: 1-4755-2469-2 , 1-4755-6195-4 , 1-4755-2181-2
    Series Statement: IMF Working Papers
    Content: Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These countries actually have repeated defaults or restructurings in short periods. This paper explains these stylized facts within a dynamic stochastic general equilibrium framework by explicitly modeling renegotiations between a defaulting country and its creditors. The quantitative analysis of the model reveals that the equilibrium probability of default for a given debt-to-GDP level is weakly increasing with the number of past defaults. The model also accords with an additional fact: lower recovery rates (high NPV haircuts) are associated with increases in spreads at renegotiation.
    Note: Cover -- Contents -- Introduction -- II. Literature Review -- III. Five New Stylized Facts on Serial Sovereign Defaults and Debt Restructurings -- A. Sovereign Debt Defaulters and Non-Defaulters - EMs -- B. Serial Sovereign Defaults and Debt Restructurings -- IV. Model Environment -- A. General Points -- B. Timing of the Model -- V. Recursive Equilibrium -- A. Sovereign Country's Problem -- B. Debt Renegotiation Problem -- C. Foreign Investors' Problem -- D. Recursive Equilibrium -- VI. Quantitative Analysis -- A. Parameters and Functional Forms -- B. Numerical Results on Equilibrium Properties -- C. Simulation Results -- D. Decomposition of Interest Spreads -- E. Brief Summary of the Quantitative Analysis -- VII. Model implications -- A. Determinants of the Slope of the Contract Curve -- B. Duration and Size of Additional Spread Premia -- VIII. Conclusion -- Figures -- 1. External Debt/GDP, Bond Spreads, and Credit Ratings, Average 2005-10 -- 2. Recovery Rates and Increases in Spreads for Recent Debt Restructurings -- 3. Timing of the Model -- 4. Relationship Between Increase in Interest Spreads and Recovery Rates -- 5. Default Probability under Baseline Case -- 6. Bond Price Schedule under Baseline Case -- 7. Total Spreads and Spreads Based on "Pure" Default Probability -- A1. Relationship between Increase in the Interest Spreads and Recovery Rates -- A2. Relationship between Increase in the Interest Spreads and Recovery Rates in Yue (2010) -- Tables -- 1. Regression Results on Bond Spreads and Credit Ratings -- 2. Serial Sovereign Defaults and Debt Restructurings in 1978-2010 -- 3. Regression Results on Recovery Rates -- 4. Model Parameters -- 5. Business Cycle Statistics for Argentina -- 6. Model Statistics for Argentina -- 7. Average Time Spans between Defaults -- 8. Values of the Slope of the Contract Curve under Different Parameter Values. , 9. Statistics for Different Levels of Upgrading in Credit History and Additional Spread Premia -- A1. Regression Results on Newly Issued Bonds over 2005-11 -- A2. Regression of EMBIG Yields on LIBOR and ICRG Ratings -- Appendices -- I. Computation Algorithm -- II. Yields on Newly Issued Bonds for Defaulters and Non-Defaulters -- III. Extrapolation Method of EMBIG Spreads -- IV. Figures at Steady State Distributions.
    Additional Edition: ISBN 1-5135-9664-0
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
    Charité
    KOBV
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