Serial sovereign defaults and debt restructurings / prepared by Tamon Asonuma.
Material type: TextSeries: IMF working paper ; WP/16/66.Publisher: Tustin, CA : Xist Publishing, 2015Publisher: [Washington, D.C.] : International Monetary Fund, 2016Copyright date: ©2016Description: 1 online resource (45 pages) : illustrationsContent type:- text
- computer
- online resource
- 9781475521818
- 1475521812
- 1513596640
- 9781513596648
- 1475561954
- 9781475561951
- 1018-5941
- 336.3435091724 23
- HG3881.5.I58 W67 No. 16/66eb
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"March 2016."
"Research Department."
"WP/16/65" on page [one] refers to: Natural disasters and food crises in low-income countries.
Includes bibliographical references (pages 41-44).
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.--Abstract.
Online resource; title from pdf title page (IMF.org Web site, viewed March 21, 2016).
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