Sovereign debt dynamics with serial defaults

Alexandros Bougias, Athanasios Episcopos
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Abstract

This paper introduces serial defaults in the structural model of Jeanneret (2015. Journal of Financial and Quantitative Analysis 50, 963-985). We consider a government that can default multiple times, deciding endogenously the default thresholds and the optimal leverage. Under the extended model, the sovereign credit spreads are higher and carry a positive serial default premium. Model calibration to eight serial defaulting countries suggests that the average market-implied serial default premium is 57.98 basis points and accounts for 16.07% of the total credit spread. The countries with the highest exposure to serial defaults are Argentina, Brazil, Egypt, and Turkey.
连续违约的主权债务动态
本文在Jeanneret(2015)的结构模型中引入了序列默认值。金融与定量分析学报50,963-985)。我们考虑一个可以多次违约的政府,它内生地决定违约阈值和最优杠杆。在扩展模型下,主权信用息差更高,且序列违约溢价为正。对8个连续违约国家的模型校正表明,市场隐含的平均连续违约溢价为57.98个基点,占总信用利差的16.07%。连续违约风险最高的国家是阿根廷、巴西、埃及和土耳其。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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