Sovereign debt with adverse selection : a quantitative approach

Detalhes bibliográficos
Autor(a) principal: Kanczuk, Fábio
Data de Publicação: 2002
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/12501
Resumo: We construct a dynamic equilibrium model to quantitatively study sovereign debt with contingent services and country risk spreads such that the benefits of defaulting are tempered by higher interest rates in the future. For a wide range of parameters, the only equilibrium of the model is one in which the sovereign defaults in all states, unless defaulting incurs additional costs. Due to the adverse selection problem, some countries choose to delay default in order to reduce reputation loss. Although equilibria with no default imply in greater welfare levels, they are not sustainable in the highly indebted and volatile countries.
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spelling Kanczuk, FábioEscolas::EPGEFGV2014-11-19T11:27:13Z2014-11-19T11:27:13Z2002-10-17http://hdl.handle.net/10438/12501We construct a dynamic equilibrium model to quantitatively study sovereign debt with contingent services and country risk spreads such that the benefits of defaulting are tempered by higher interest rates in the future. For a wide range of parameters, the only equilibrium of the model is one in which the sovereign defaults in all states, unless defaulting incurs additional costs. Due to the adverse selection problem, some countries choose to delay default in order to reduce reputation loss. Although equilibria with no default imply in greater welfare levels, they are not sustainable in the highly indebted and volatile countries.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessSovereign debtDefaultEconomiaDívida externa - Modelos econométricosSovereign debt with adverse selection : a quantitative approachinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL1109.pdf1109.pdfapplication/pdf80193https://repositorio.fgv.br/bitstreams/2c47cf1c-7727-4818-997f-d52ab3fd19cf/download994ac5a4c0ada958053e3bb75d4ab2fbMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/aa48abef-5726-4336-9ded-0325d7f8848e/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT1109.pdf.txt1109.pdf.txtExtracted 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dc.title.eng.fl_str_mv Sovereign debt with adverse selection : a quantitative approach
title Sovereign debt with adverse selection : a quantitative approach
spellingShingle Sovereign debt with adverse selection : a quantitative approach
Kanczuk, Fábio
Sovereign debt
Default
Economia
Dívida externa - Modelos econométricos
title_short Sovereign debt with adverse selection : a quantitative approach
title_full Sovereign debt with adverse selection : a quantitative approach
title_fullStr Sovereign debt with adverse selection : a quantitative approach
title_full_unstemmed Sovereign debt with adverse selection : a quantitative approach
title_sort Sovereign debt with adverse selection : a quantitative approach
author Kanczuk, Fábio
author_facet Kanczuk, Fábio
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Kanczuk, Fábio
dc.subject.eng.fl_str_mv Sovereign debt
Default
topic Sovereign debt
Default
Economia
Dívida externa - Modelos econométricos
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Dívida externa - Modelos econométricos
description We construct a dynamic equilibrium model to quantitatively study sovereign debt with contingent services and country risk spreads such that the benefits of defaulting are tempered by higher interest rates in the future. For a wide range of parameters, the only equilibrium of the model is one in which the sovereign defaults in all states, unless defaulting incurs additional costs. Due to the adverse selection problem, some countries choose to delay default in order to reduce reputation loss. Although equilibria with no default imply in greater welfare levels, they are not sustainable in the highly indebted and volatile countries.
publishDate 2002
dc.date.issued.fl_str_mv 2002-10-17
dc.date.accessioned.fl_str_mv 2014-11-19T11:27:13Z
dc.date.available.fl_str_mv 2014-11-19T11:27:13Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/12501
url http://hdl.handle.net/10438/12501
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Seminários de pesquisa econômica da EPGE
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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collection Repositório Institucional do FGV (FGV Repositório Digital)
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