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

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

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Bibliographic Details
Author / Creator:	Hatchondo, Juan Carlos, author.
Imprint:	Washington, D.C. : International Monetary Fund, IMF Institute for Capacity Development, 2013.
Description:	1 online resource (17 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/13/174 IMF working paper ; WP/13/174.
Subject:	Debts, Public -- Econometric models. Default (Finance) -- Econometric models. Debts, Public -- Econometric models. Default (Finance) -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12502018

Hidden Bibliographic Details
Other authors / contributors:	Martínez, Leonardo, author. IMF Institute. International Monetary Fund, issuing body.
ISBN:	9781616358426 1616358424 9781475543964 1475543964 9781475586176 1475586175
Notes:	"July 2013." Includes bibliographical references (pages 15-16). Online resource; title from PDF caption title (IMF, viewed September 4, 2013).
Summary:	"The authors study the sovereign debt duration chosen by the government in the context of a standard model of sovereign default. The government. "The authors 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 lowering duration to mitigate the debt dilution problem. We present two main results. First, when the government decides the debt duration on a sequential basis, sudden stop risk increases the average duration by 1 year. Second, they illustrate the time inconsistency problem in the choice of sovereign debt duration: governments would like to commit to a duration that is 1.7 years shorter than the one they choose when decisions are made sequentially."--Summary.

Description
Summary:	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 lowering duration to mitigate the debt dilution problem. We present two main results. First, when the government decides the debt duration on a sequential basis, sudden stop risk increases the average duration by 1 year. Second, we illustrate the time inconsistency problem in the choice of sovereign debt duration: governments would like to commit to a duration that is 1.7 years shorter than the one they choose when decisions are made sequentially.
Item Description:	"July 2013."
Physical Description:	1 online resource (17 pages) : illustrations
Bibliography:	Includes bibliographical references (pages 15-16).
ISBN:	9781616358426 1616358424 9781475543964 1475543964 9781475586176 1475586175