UID:
almafu_9958098283202883
Umfang:
1 online resource (18 p.)
ISBN:
9781484317655
,
1484317653
,
9781616358426
,
1616358424
,
9781475543964
,
1475543964
Serie:
IMF Working Papers
Inhalt:
We study the sovereign debt duration chosen by the government in the context of a standard model of sovereign default. The government balances off increasing the duration of its debt to mitigate rollover risk and lowering duration to mitigate the debt dilution problem. We present two main results. First, when the government decides the debt duration on a sequential basis, sudden stop risk increases the average duration by 1 year. Second, we illustrate the time inconsistency problem in the choice of sovereign debt duration: governments would like to commit to a duration that is 1.7 years shorter than the one they choose when decisions are made sequentially.
Anmerkung:
Description based upon print version of record.
,
Cover; Contents; I. Introduction; II. Model; A. Recursive formulation; B. Recursive equilibrium; III. Calibration; Tables; 1. Benchmark parameter values; IV. Computation; V. Results; A. The effect of sudden stops on debt duration; 2. Simulation results; B. The optimal ex-ante debt duration; Figures; 1. Value function V; VI. Conclusions; 2. Spread and consumption volatility for different debt durations; 3. Simulation Results when the government commits to a debt duration; References
,
English
Weitere Ausg.:
ISBN 9781475586176
Weitere Ausg.:
ISBN 1475586175
Weitere Ausg.:
ISBN 9781299803336
Weitere Ausg.:
ISBN 1299803334
Sprache:
Englisch
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