Optimal Maturity Structure of Sovereign Debt in Situation of Near Default:
We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long ter...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2014
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 14/168 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long term debt is followed by a sequence of negative macro shocks. Prior uncertainty about future fundamentals is then a source of default through its effect on long term interest rates and the optimal debt issuance. Intuitively, the Sovereign chooses a portfolio implying a risk of default because this risk generates a correlation between the future value of long term debt and future fundamentals. Long term debt serves as a hedging instrument against the risk on fundamentals. When expected fundamentals are high, the Sovereign issues a large amount of long term debt, the expected default probability increases, and so does the long term interest rate |
| Beschreibung: | 1 Online-Ressource (43 p) |
| ISBN: | 149837977X 9781498379779 |
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| index_date | 2024-07-03T20:13:35Z |
| indexdate | 2024-07-10T09:35:45Z |
| institution | BVB |
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| record_format | marc |
| series2 | IMF Working Papers |
| spelling | Desgranges, Gabriel Verfasser aut Optimal Maturity Structure of Sovereign Debt in Situation of Near Default Desgranges, Gabriel Washington, D.C International Monetary Fund 2014 1 Online-Ressource (43 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 14/168 We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a debt crisis in case a large initial issuance of long term debt is followed by a sequence of negative macro shocks. Prior uncertainty about future fundamentals is then a source of default through its effect on long term interest rates and the optimal debt issuance. Intuitively, the Sovereign chooses a portfolio implying a risk of default because this risk generates a correlation between the future value of long term debt and future fundamentals. Long term debt serves as a hedging instrument against the risk on fundamentals. When expected fundamentals are high, the Sovereign issues a large amount of long term debt, the expected default probability increases, and so does the long term interest rate Online-Ausg Rochon, Céline Sonstige oth http://elibrary.imf.org/view/IMF001/21628-9781498379779/21628-9781498379779/21628-9781498379779.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Desgranges, Gabriel Optimal Maturity Structure of Sovereign Debt in Situation of Near Default |
| title | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default |
| title_auth | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default |
| title_exact_search | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default |
| title_exact_search_txtP | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default |
| title_full | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default Desgranges, Gabriel |
| title_fullStr | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default Desgranges, Gabriel |
| title_full_unstemmed | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default Desgranges, Gabriel |
| title_short | Optimal Maturity Structure of Sovereign Debt in Situation of Near Default |
| title_sort | optimal maturity structure of sovereign debt in situation of near default |
| url | http://elibrary.imf.org/view/IMF001/21628-9781498379779/21628-9781498379779/21628-9781498379779.xml |
| work_keys_str_mv | AT desgrangesgabriel optimalmaturitystructureofsovereigndebtinsituationofneardefault AT rochonceline optimalmaturitystructureofsovereigndebtinsituationofneardefault |