与gdp挂钩的债券和主权违约

BOE: Working Paper Series (Topic) Pub Date : 2014-01-31 DOI:10.2139/ssrn.2388768

D. Barr, Oliver Bush, A. Pienkowski

{"title":"与gdp挂钩的债券和主权违约","authors":"D. Barr, Oliver Bush, A. Pienkowski","doi":"10.2139/ssrn.2388768","DOIUrl":null,"url":null,"abstract":"Using a calibrated model of endogenous sovereign default, we explore how GDP-linked bonds can raise the maximum sustainable debt level of a government, and substantially reduce the incidence of default. The model explores both the costs (in particular the GDP risk premium) and the benefits of issuing GDP-linked bonds. It concludes that significant welfare gains can be achieved by indexing debt to GDP.","PeriodicalId":395566,"journal":{"name":"BOE: Working Paper Series (Topic)","volume":"31 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"42","resultStr":"{\"title\":\"GDP-Linked Bonds and Sovereign Default\",\"authors\":\"D. Barr, Oliver Bush, A. Pienkowski\",\"doi\":\"10.2139/ssrn.2388768\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Using a calibrated model of endogenous sovereign default, we explore how GDP-linked bonds can raise the maximum sustainable debt level of a government, and substantially reduce the incidence of default. The model explores both the costs (in particular the GDP risk premium) and the benefits of issuing GDP-linked bonds. It concludes that significant welfare gains can be achieved by indexing debt to GDP.\",\"PeriodicalId\":395566,\"journal\":{\"name\":\"BOE: Working Paper Series (Topic)\",\"volume\":\"31 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-01-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"42\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"BOE: Working Paper Series (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2388768\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"BOE: Working Paper Series (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2388768","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 42

摘要

本文利用一个内源性主权违约的校准模型，探讨了gdp挂钩债券如何提高政府的最大可持续债务水平，并大幅降低违约发生率。该模型探讨了发行与GDP挂钩的债券的成本(特别是GDP风险溢价)和收益。它的结论是，通过将债务与GDP挂钩，可以实现显著的福利收益。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

GDP-Linked Bonds and Sovereign Default

Using a calibrated model of endogenous sovereign default, we explore how GDP-linked bonds can raise the maximum sustainable debt level of a government, and substantially reduce the incidence of default. The model explores both the costs (in particular the GDP risk premium) and the benefits of issuing GDP-linked bonds. It concludes that significant welfare gains can be achieved by indexing debt to GDP.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

BOE: Working Paper Series (Topic)

自引率

0.00%

发文量