Essays on sovereign debt structure default and renegotiation

It also explains, both theoretically and empircally, how changes in sovereign debt maturity structure would affect the real economy.

Essays on sovereign debt structure default and renegotiation

Vivian Zhanwei Yue, University of Pennsylvania Abstract We study sovereign debt default in small open economies and the relation linking sovereign bond spreads, business cycles, and exchange rate policy in emerging economies.

In the second chapter, Sovereign Default and Debt Renegotiation, we develop a small open economy model to study sovereign default and debt renegotiation within a dynamic borrowing framework. Sovereign bonds are priced to compensate creditors for the risks of default and debt restructuring in equilibrium.

We find that both equilibrium debt recovery rates and sovereign bond prices decrease with the level of debt.

Download Citation on ResearchGate | On Jan 24, , Ran Bi and others published Essays on Sovereign Debt Structure, Default and Renegotiation }. Sovereign Default and Debt Renegotiation Vivian Z. Yue ∗ New York University November Abstract This paper develops a small open economy model to study sovereign default and debt. "Default and Renegotiation: A Dynamic Model of Debt," Harvard Institute of Economic Research Working Papers , Harvard - Institute of Economic Research. Oliver Hart & John Moore, " Default and Renegotiation: A Dynamic Model of Debt," NBER Working Papers , National Bureau of Economic Research, Inc.

We also show that the model quantitatively accounts for the volatile and countercyclical bond spreads, countercyclical current account and other empirical regularities of the Argentine economy.

We find that US interest rate shocks explain about 20 percent of movements in aggregate activity in emerging economies; whereas country spread shocks explain about 12 percent of business cycles in emerging economies.

Essays on Sovereign Debt Structure, Default and Renegotiation - CORE

We also show that US-interest-rate shocks affect domestic variables mostly through their effects on country spreads. Furthermore, the feedback from emerging-market fundamentals to country spreads significantly exacerbates business-cycle fluctuations.

Essays on sovereign debt structure default and renegotiation

We find that real exchange rate overvaluation significantly increases sovereign bond issue probability and raises bond spreads. We also show that spreads and the likelihood of issuing bonds depend on the exchange rate regime. Particularly, exchange rate misalignment under a hard peg significantly increases bond spreads.

Essays on sovereign debt structure default and renegotiation

Moreover, in time of debt crises, exchange rate policy also greatly affects the sovereign bond market, especially through exchange rate overvaluation.

Dissertations available from ProQuest.One appreciates the recommendation of providing information on restructuring debt to help the company combat its recent financial troubles.

ESSAYS ON SOVEREIGN DEBT: DEFAULT ...

Even though the company is in the process of reorganizing one believes this information will help a company in reporting the restructuring of debt. Sovereign Default and Debt Renegotiation Vivian Z. Yue ∗ New York University November Abstract We develop a small open economy model to study sovereign default and debt renegotiation.

Sovereign Default and Debt Renegotiation Vivian Z.

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Yue ∗ New York University November Abstract This paper develops a small open economy model to study sovereign default and debt. Renegotiation Policies in Sovereign Defaults of recoveries imply that for intermediate levels of debt, a default in one country leads to a default in the other country.

1 Introduction: Conceptual Issues The de ning feature of sovereign debt is the limited mechanisms for enforcement. This distin-guishes sovereign debt from private debt, whether domestic or international.1 A private agent or corporation, at least technically, is always subject to a legal authority. Author(s): Oliver Hart & John Moore. Abstract: We analyse the role of debt in persuading an entrepreneur to pay out cash flows, rather than to divert them. In the first part of the paper we study the optimal debt contract - specifically, the trade-off between the size of the loan and the repayment - under the assumption that some debt contract is optimal. This dissertation explores the relationship between sovereign debt ownership, default probabilities, and debt returns, focusing on the increasing domestic debt ownership in devloped countries since the global financial crisis in

This dependency arises during fundamental defaults abroad, We now present two models of debt renegotiation between a lender and multiple borrow-ers. We compare the.

Essays on Sovereign Debt Structure, Default and Renegotiation

countries start with some income y i and debt b i owed to the lender. The lender has a constant endowment y timberdesignmag.comies decide whether to default on the debt, d i = 1, or repay it, d i = 0.

Default entails costs in that income falls to yd i y i. Duration of Sovereign Debt Renegotiation Yan Bai Arizona State University Jing Zhangy University of Michigan March 2, Abstract The structure of sovereign debt has evolved over time from illiquid bank loans toward liquid bonds.

Essays on Sovereign Debt Structure, Default and Renegotiation