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|z 9781498379779
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|a 1018-5941
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|a BD-DhAAL
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|a Desgranges, Gabriel.
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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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|a Washington, D.C. :
|b International Monetary Fund,
|c 2014.
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| 300 |
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|a 1 online resource (43 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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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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|a Mode of access: Internet
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|a Rochon, Celine.
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|a IMF Working Papers; Working Paper ;
|v No. 2014/168
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2014/168/001.2014.issue-168-en.xml
|z IMF e-Library
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