Data and Code for: Sovereign Debt Restructurings
- Dvorkin, Maximiliano (Federal Reserve Bank of St. Louis)
- Sanchez, Juan (Federal Reserve Bank of St. Louis)
- Sapriza, Horacio (Board of Governors of the Federal Reserve System)
- Yurdagul, Emircan (Universidad Carlos III)
AbstractSovereign debt crises involve debt restructurings characterized by a mix of face-value haircuts and maturity extensions. The prevalence of maturity extensions has been hard to reconcile with economic theory. We develop a model of endogenous debt restructuring that captures key facts of sovereign debt and restructuring episodes. While debt dilution pushes for negative maturity extensions, three factors are important in overcoming the effects of dilution and generating maturity extensions upon restructurings: income recovery after default, credit exclusion after restructuring, and regulatory costs of book-value haircuts. We employ dynamic-discrete-choice methods that allow for smootherdecision rules, rendering the problem tractable.
Dvorkin, Maximiliano, Juan Sanchez, Horacio Sapriza, and Emircan Yurdagul. “Sovereign Debt Restructurings.” American Economic Journal: Macroeconomics, n.d.
Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-12-02