Default risk premia on sovereign debt: an analysis on default risk and devaluation risk for selected OECD countries
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| Format: | Thesis Book |
| Language: | English |
| Published: |
1999
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 164 S. graph. Darst. |
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MARC
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| 100 | 1 | |a Vocke, Matthias |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Default risk premia on sovereign debt |b an analysis on default risk and devaluation risk for selected OECD countries |c von Matthias Vocke |
| 264 | 1 | |c 1999 | |
| 300 | |a VIII, 164 S. |b graph. Darst. | ||
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| adam_text | Contents
Acknowledgements I
List of Figures VI
List of Tables VII
1 Introduction 1
2 Why is a story about default risk premia on 8
industrialised countries debt worth telling?
2.1 Can industrialised nations default on their public debt? 9
2.1.1 The notion of sovereign default revisited 9
2.1.2 Historic episodes of sovereign responses to an immediate 10
default risk
2.2 The rise and persistence of industrialised nations 15
public debt since 1973
2.2.1 Recent trends in fiscal policy and public debt in OECD 16
countries
2.2.2 The political economy of public debt 17
2.3 Losing the option of currency devaluation 20
2.3.1 Independence of national central banks 21
2.3.2 Increasing credibility of European exchange regimes 23
3 A critical evaluation of approaches to measure 27
sovereign default premia in economic literature
3.1 General problems of any analysis of sovereign default 27
risk premia
3 1.1 Measurement of the default risk premium: the search for a 28
risk free asset
3.1.2 The interference of a risk premium with the default
premium
ii
3.1.3 Identification problems 29
3.1.4 Multicollinearity 30
3.2 Research on sovereign default premia within the same 31
currency area
3.2.1 Goldstein and Woglom (1992): Default risk premia on 32
US state bonds, 1982 1990
3.2.2 Cottarelli and Mecagni (1990): Default risk premia on 37
Italian government debt, 1976 1988
3.3 Research on sovereign default risk premia between 39
different currency areas
3.3.1 Alesina, De Broeck, Tabellini, and Prati (1992): 39
Default risk on government debt in OECD countries, 1974
1989
3.3.2 L0NNING (1994): Default risk premia on European 43
government debt, 1993
3.4 Conclusions for the analysis of sovereign default risk 45
premia
4 Empirical evidence on default risk premia 49
within the Swiss currency union
4.1 The case for a preliminary analysis of the Swiss 50
currency union
4.2 Data on the Swiss currency union 57
4.3 Construction of the variables 61
4.3.1 The default risk premium 61
4.3.2 Fiscal variables measuring debt and deficit in relation to 63
revenues
4.3.3 Fiscal variables measuring tax burden and financial 65
capacities
4.3.4 Index for voluntary cantonal debt limitations 66
4.3.5 Index for the degree of urbanisation and functions of 68
central places
4.3.6 Business cycles 68
Hi
. j i Time variable capturing variations of default premia over 69
the time series
43 g Coupon size 71
439 Dummy variable for the Swiss federation 72
44 Econometric method and specification 74
4 41 Pooled estimation technique 74
44 2 Specification of the model 77
4_5 Regression results for the Swiss currency union 79
4.5.1 Results for the unbalanced sample 79
4.5.2 Results for the balanced sample 85
5 Empirical evidence on international default risk 91
premia inside and outside the EMU
5.1 Data for OECD countries 91
5.2 Construction of the variables 94
5.2.1 The default risk premium 94
5.2.2 Fiscal variables measuring debt and deficit in relation to 95
economic output
5.2.3 Dummy variable for membership in the EMS 97
5.2.4 Business cycle 99
5.2.5 Credit rating 100
5.3 Econometric specification of the model 101
5.4 Regression results for OECD countries 103
5.4.1 General results for balanced samples 103
5.4.2 Results for balanced sub samples with EMS member 111
countries
5.4.3 Results for a balanced sample with Non EMS member 114
countries
iv
6 The interaction of default risk and devaluation 118
risk
6.1 Expectations on the relationship between exchange 119
rates and default risk premia: A closer look at daily
data
6.2 Econometric results from time series analysis 124
6.2.1 Frequent changes in monetary and exchange relations: Italy 125
and Germany
6.2.2 Contrasting exchange regimes: UK and Germany, Australia 126
and Germany
6.2.3 Floating currencies: UK and Australia, Japan and Canada 127
7 Summary of the results and economic 129
implications
Annex 135
References 160
V
List of Figures
Figure Title Page
1 Relative Budget Deficits and Default Premia of Swiss Cantons 64
1991 1996
2 Indices for the Tax Burden and the Financial Power of Swiss 65
Cantons
3 Average Cantonal Default Premia (Unbalanced and Balanced 70
Sample)
4 Yield Difference between AAA Rated Cantonal and Swiss 73
Federal Bonds
5 Debt Ratios and Default Premia of OECD Countries 96
1987 1997
6 Average Default Risk Premia of EMS Insiders and Outsiders 97
1991 1997
7 Average Default Risk Premia for the First Quarter of 1998 and 98
Debt/GDP Ratios of Selected OECD Countries for 1997
8 Business Cycle and Default Premia of OECD Countries 100
1987 1997 ,
9 Credit Ratings and Default Premia of OECD Countries 101
1988 1997 I
10 Default Risk Premia of the UK and the EU between 1989 119
and 1998
11 German Italian Exchange Rate and Default Risk Premium, 122
1991 1998
12 Default Risk Premia and Interest Rates of OECD Countries, 123 [
1987 1997
vi
List of Tables
Table Description Page
1 Constraints on Central bank credit to the Government in 16 22
OECD countries
2 Re valuations of the German mark against other EMS 24
Currencies
3 General evaluation of four existing studies on the risk of 47
sovereign default
4 Specific evaluation of four existing studies on the risk of 48
sovereign default
5 Comparison of US States, EMU Member States and Swiss 56
Cantons
6 Availability of Bond Price Data for the Federal and Cantonal 59
Governments
7 Regression Results for the Unbalanced Sample with the Swiss 81
Federation
8 Regression Results for the Unbalanced Sample without the 84
Swiss Federation
9 Regression Results for the Balanced Sample with the Swiss 86
Federation
10 Regression Results with Individual Deficit Coefficients 88
(Balanced Sample)
11 Regression Results for the Balanced Sample without the Swiss 90
Federation
12 Availability of Government Bond Yield Data for 19 OECD 93
Countries
13 Regression Results for a Balanced Sample (1992 1997) 104
14 Regression Results for a Balanced Sample (1993 1997) 106
15 Regression Results for a Balanced Sample (1994 1997) 107
16 Regression Results for a Balanced Sample (1995 1997) 109
17 Regression Results for a Balanced EMS Member Sample 111
(1992 1997)
vii
1 g Regression Results for a Balanced EMS Member Sample 113
(1994 1997)
19 Results from ADF Unit Root Tests 115
20 Results of Johansen Cointegration Tests on Germany and Italy 125
21 Results of Johansen Cointegration Tests on the UK and 126
22 Germany as well as Germany and Austria 127
23 Results of Tohansen Cointegration Tests on the UK and 128
Australia as well as Japan and Canada
24 Estimated Additional Interest Payments Resulting from Debt, 133
Deficit and EMS Membership for 1997
viii
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| indexdate | 2024-07-09T18:35:51Z |
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| spelling | Vocke, Matthias Verfasser aut Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries von Matthias Vocke 1999 VIII, 164 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 1999 OECD (DE-588)5157-3 gnd rswk-swf Öffentliche Schulden (DE-588)4043153-8 gnd rswk-swf Mitgliedsstaaten (DE-588)4170174-4 gnd rswk-swf Risiko (DE-588)4050129-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content OECD (DE-588)5157-3 b Mitgliedsstaaten (DE-588)4170174-4 s Öffentliche Schulden (DE-588)4043153-8 s Risiko (DE-588)4050129-2 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008787039&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Vocke, Matthias Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries OECD (DE-588)5157-3 gnd Öffentliche Schulden (DE-588)4043153-8 gnd Mitgliedsstaaten (DE-588)4170174-4 gnd Risiko (DE-588)4050129-2 gnd |
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| title | Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries |
| title_auth | Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries |
| title_exact_search | Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries |
| title_full | Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries von Matthias Vocke |
| title_fullStr | Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries von Matthias Vocke |
| title_full_unstemmed | Default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected OECD countries von Matthias Vocke |
| title_short | Default risk premia on sovereign debt |
| title_sort | default risk premia on sovereign debt an analysis on default risk and devaluation risk for selected oecd countries |
| title_sub | an analysis on default risk and devaluation risk for selected OECD countries |
| topic | OECD (DE-588)5157-3 gnd Öffentliche Schulden (DE-588)4043153-8 gnd Mitgliedsstaaten (DE-588)4170174-4 gnd Risiko (DE-588)4050129-2 gnd |
| topic_facet | OECD Öffentliche Schulden Mitgliedsstaaten Risiko Hochschulschrift |
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