|
|
|
|
LEADER |
03482nmm a2200781 u 4500 |
001 |
EB002081784 |
003 |
EBX01000000000000001221874 |
005 |
00000000000000.0 |
007 |
cr||||||||||||||||||||| |
008 |
220928 ||| eng |
020 |
|
|
|a 9781513572635
|
100 |
1 |
|
|a Roch, Francisco
|
245 |
0 |
0 |
|a Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt
|c Francisco Roch, Francisco Roldán
|
260 |
|
|
|a Washington, D.C.
|b International Monetary Fund
|c 2021
|
300 |
|
|
|a 38 pages
|
651 |
|
4 |
|a Argentina
|
653 |
|
|
|a Rational expectations
|
653 |
|
|
|a Public debt
|
653 |
|
|
|a Financial crises
|
653 |
|
|
|a Public finance & taxation
|
653 |
|
|
|a Deflation
|
653 |
|
|
|a Saving and Capital Investment
|
653 |
|
|
|a Expectations
|
653 |
|
|
|a Debts, Public
|
653 |
|
|
|a Exports and Imports
|
653 |
|
|
|a Economic Development: Financial Markets
|
653 |
|
|
|a International Lending and Debt Problems
|
653 |
|
|
|a External debt
|
653 |
|
|
|a Economics of specific sectors
|
653 |
|
|
|a Asset prices
|
653 |
|
|
|a Currency crises
|
653 |
|
|
|a Bonds
|
653 |
|
|
|a International Economics
|
653 |
|
|
|a Rational expectations; Economic theory
|
653 |
|
|
|a Macroeconomics
|
653 |
|
|
|a Economic theory
|
653 |
|
|
|a Speculations
|
653 |
|
|
|a Economic & financial crises & disasters
|
653 |
|
|
|a Inflation
|
653 |
|
|
|a Economic Theory
|
653 |
|
|
|a Financial institutions
|
653 |
|
|
|a Economics: General
|
653 |
|
|
|a Debt Management
|
653 |
|
|
|a Debt
|
653 |
|
|
|a Informal sector; Economics
|
653 |
|
|
|a General Financial Markets: General (includes Measurement and Data)
|
653 |
|
|
|a Economic theory & philosophy
|
653 |
|
|
|a Investments: Bonds
|
653 |
|
|
|a International economics
|
653 |
|
|
|a Economic sectors
|
653 |
|
|
|a Debts, External
|
653 |
|
|
|a Sovereign Debt
|
653 |
|
|
|a Price Level
|
653 |
|
|
|a Financial Markets and the Macroeconomy
|
653 |
|
|
|a Prices
|
653 |
|
|
|a Interest Rates: Determination, Term Structure, and Effects
|
653 |
|
|
|a Investment & securities
|
653 |
|
|
|a Public Finance
|
653 |
|
|
|a Debt default
|
653 |
|
|
|a Corporate Finance and Governance
|
700 |
1 |
|
|a Roldán, Francisco
|
041 |
0 |
7 |
|a eng
|2 ISO 639-2
|
989 |
|
|
|b IMF
|a International Monetary Fund
|
490 |
0 |
|
|a IMF Working Papers
|
028 |
5 |
0 |
|a 10.5089/9781513572635.001
|
856 |
4 |
0 |
|u https://elibrary.imf.org/view/journals/001/2021/076/001.2021.issue-076-en.xml?cid=50163-com-dsp-marc
|x Verlag
|3 Volltext
|
082 |
0 |
|
|a 330
|
520 |
|
|
|a We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond structure (e.g., the GDP-linked bond issued by Argentina in 2005), the model with robustness generates ambiguity premia in bond spreads that can explain most of what the literature has labeled as novelty premium. While the government would be better off with this bond when facing rational expectations lenders, this additional source of premia leads to welfare losses when facing robust lenders. Finally, we characterize the optimal design of the state-contingent bond and show how it varies with the level of robustness. Our findings rationalize the little use of these instruments in practice and shed light on their optimal design
|