International Reserves and Rollover Risk /

Two striking facts about international capital flows in emerging economies motivate this paper: (1) Governments hold large amounts of international reserves, for which they obtain a return lower than their borrowing cost. (2) Purchases of domestic assets by nonresidents and purchases of foreign asse...

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Автор: Bianchi, Javier
Інші автори: Hatchondo, Juan Carlos, Martinez, Leonardo
Формат: Журнал
Мова:English
Опубліковано: Washington, D.C. : International Monetary Fund, 2013.
Серія:IMF Working Papers; Working Paper ; No. 2013/033
Онлайн доступ:Full text available on IMF
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245 1 0 |a International Reserves and Rollover Risk /  |c Javier Bianchi, Juan Carlos Hatchondo, Leonardo Martinez. 
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490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a Two striking facts about international capital flows in emerging economies motivate this paper: (1) Governments hold large amounts of international reserves, for which they obtain a return lower than their borrowing cost. (2) Purchases of domestic assets by nonresidents and purchases of foreign assets by residents are both procyclical and collapse during crises. We propose a dynamic model of endogenous default that can account for these facts. The government faces a trade-off between the benefits of keeping reserves as a buffer against rollover risk and the cost of having larger gross debt positions. Long-duration bonds, the countercyclical default premium, and sudden stops are important for the quantitative success of the model. 
538 |a Mode of access: Internet 
700 1 |a Hatchondo, Juan Carlos. 
700 1 |a Martinez, Leonardo. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2013/033 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2013/033/001.2013.issue-033-en.xml  |z IMF e-Library