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Sovereign Debt Restructurings 1950-2010

Sovereign Debt Restructurings 1950-2010 »

Source: Sovereign Debt Restructurings 1950-2010 : Literature Survey, Data, and Stylized Facts

Volume/Issue: 2012/203

Series: IMF Working Papers

Author(s): Christoph Trebesch , Michael Papaioannou , and Udaibir Das

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505535

Keywords: Sovereign Default, debt, restructuring, creditor, International Lending and Debt Problems,

This paper provides a comprehensive survey of pertinent issues on sovereign debt restructurings, based on a newly constructed database. This is the first complete dataset of sovereign restructuring cases, covering...

Sovereign Debt Restructurings 1950-2010
			: Literature Survey, Data, and Stylized Facts

Sovereign Debt Restructurings 1950-2010 : Literature Survey, Data, and Stylized Facts »

Volume/Issue: 2012/203

Series: IMF Working Papers

Author(s): Christoph Trebesch , Michael Papaioannou , and Udaibir Das

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

DOI: http://dx.doi.org/10.5089/9781475505535.001

ISBN: 9781475505535

Keywords: Sovereign Default, debt, restructuring, creditor, International Lending and Debt Problems,

This paper provides a comprehensive survey of pertinent issues on sovereign debt restructurings, based on a newly constructed database. This is the first complete dataset of sovereign restructuring cases, covering...

Sovereign Defaults

Sovereign Defaults »

Source: Sovereign Defaults : The Role of Volatility

Volume/Issue: 2002/149

Series: IMF Working Papers

Author(s): Bennett Sutton , and Luis Catão

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451856903

Keywords: Macroeconomic Volatility, capital inflows, capital markets, sovereign defaults, international borrowing, International Lending and Debt Problems,

While the relationship between volatility and credit risk is central to much of the literature on finance and banking, it has been largely neglected in empirical macro studies on sovereign defaults. This paper pres...

Haircuts

Haircuts »

Source: Haircuts : Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005

Volume/Issue: 2005/137

Series: IMF Working Papers

Author(s): Jeronimo Zettelmeyer , and Federico Sturzenegger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2005

ISBN: 9781451861563

Keywords: Defaults, bond, bonds, debt, present value, discount rate, International Lending and Debt Problems,

This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructuring...

The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Source: The Pricing of Credit Default Swaps During Distress

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...

Sudden stops, time inconsistency, and the duration of sovereign debt

Sudden stops, time inconsistency, and the duration of sovereign debt »

Source: Sudden stops, time inconsistency, and the duration of sovereign debt

Volume/Issue: 2013/174

Series: IMF Working Papers

Author(s): Juan Carlos Hatchondo , and Leonardo Martinez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 July 2013

ISBN: 9781475586176

Keywords: time inconsistency, debt maturity, bond, bonds, sovereign default, bond price, International Lending and Debt Problems, Open Economy Macroeconomics,

We study the sovereign debt duration chosen by the government in the context of a standard model of sovereign default. The government balances off increasing the duration of its debt to mitigate rollover risk and l...

The Impact of Bailouts on the Probability of Sovereign Debt Crises: Evidence from IMF-Supported Programs

The Impact of Bailouts on the Probability of Sovereign Debt Crises: Evidence from IMF-Supported Programs »

Source: The Impact of Bailouts on the Probability of Sovereign Debt Crises: Evidence from IMF-Supported Programs

Volume/Issue: 2019/2

Series: IMF Working Papers

Author(s): Hippolyte Balima , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 January 2019

ISBN: 9781484393413

Keywords: Sovereign debt defaults, IMF-supported programs, entropy balancing, International Lending and Debt Problems, International Monetary Arrangements and Institutions

This paper studies the role of IMF-supported programs in mitigating the likelihood of subsequent sovereign defaults in borrowing countries. Using a panel of 106 developing countries from 1970 to 2016 and an entropy...

Debt Limits and the Structure of Public Debt1

Debt Limits and the Structure of Public Debt1 »

Source: Debt Limits and the Structure of Public Debt

Volume/Issue: 2017/117

Series: IMF Working Papers

Author(s): Alex Pienkowski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2017

ISBN: 9781484300657

Keywords: Sovereign debt, debt limits, sovereign default, state-contingent debt, GDP-linked bonds, International Lending and Debt Problems

This paper provides a tractable framework to assess how the structure of debt instruments-specifically by currency denomination and indexation to GDP-can raise the debt limit of a sovereign. By calibrating the mode...

How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa

How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa »

Source: How Important Is Sovereign Risk in Determining Corporate Default Premia? The Case of South Africa

Volume/Issue: 2005/217

Series: IMF Working Papers

Author(s): Marcel Peter , and Martín Grandes

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

ISBN: 9781451862362

Keywords: corporate risk, sovereign ceiling, default premium, bond, bonds, equation, probability, corporate bond, International Lending and Debt Problems,

The paper analyzes and quantifies the importance of sovereign risk in determining corporate default premia (yield spreads). It also investigates the extent to which the practice by rating agencies and banks of not...

Getting Shut Out of the International Capital Markets - It Doesn't Take Much

Getting Shut Out of the International Capital Markets - It Doesn't Take Much »

Source: Getting Shut Out of the International Capital Markets - It Doesn't Take Much

Volume/Issue: 2006/144

Series: IMF Working Papers

Author(s): Nancy Marion , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451864045

Keywords: International lending, emerging market default, shutdowns, capital markets, probability, equation, international capital, International Lending and Debt Problems,

We use a simple model of international lending to show that an emerging market borrower who might default can be shut out of international capital markets without warning. A modest haircut on obligations, for examp...