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150128 ||| eng |
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|a 9781498379779
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| 100 |
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|a Desgranges, Gabriel
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| 245 |
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|a Optimal Maturity Structure of Sovereign Debt in Situation of Near Default
|c Gabriel Desgranges, Celine Rochon
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2014
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| 300 |
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|a 43 pages
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| 653 |
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|a Public debt
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| 653 |
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|a Public finance & taxation
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| 653 |
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|a Hedging
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| 653 |
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|a Value of Firms
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| 653 |
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|a Expectations
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| 653 |
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|a Debt Management
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| 653 |
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|a Debts, Public
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| 653 |
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|a Debt
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| 653 |
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|a Exports and Imports
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| 653 |
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|a International Lending and Debt Problems
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| 653 |
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|a International economics
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| 653 |
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|a Debts, External
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| 653 |
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|a Sovereign Debt
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| 653 |
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|a Debt burden
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| 653 |
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|a Taxation, Subsidies, and Revenue: General
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| 653 |
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|a Financial risk management
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| 653 |
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|a Capital and Ownership Structure
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| 653 |
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|a Goodwill
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| 653 |
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|a Banks and Banking
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| 653 |
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|a Tax incentives
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| 653 |
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|a Financial Risk and Risk Management
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| 653 |
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|a Taxation
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| 653 |
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|a Financing Policy
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| 653 |
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|a Public Finance
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| 653 |
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|a Financial services law & regulation
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| 653 |
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|a Speculations
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| 653 |
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|a Debt default
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| 700 |
1 |
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|a Rochon, Celine
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| 041 |
0 |
7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781498379779.001
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| 856 |
4 |
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|u https://elibrary.imf.org/view/journals/001/2014/168/001.2014.issue-168-en.xml?cid=41913-com-dsp-marc
|x Verlag
|3 Volltext
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| 082 |
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|a 330
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| 520 |
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|a 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
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