Default and the Maturity Structure in Sovereign Bonds

被引：144

作者：

Arellano, Cristina ^{[1
,2
]}

Ramanarayanan, Ananth ^{[3
]}

机构：

[1] Fed Reserve Bank Minneapolis, Minneapolis, MN 55401 USA

[2] Natl Bur Econ Res, Cambridge, MA 02138 USA

[3] Univ Western Ontario, London, ON N6A 3K7, Canada

来源：

JOURNAL OF POLITICAL ECONOMY | 2012年 / 120卷 / 02期

基金：

美国国家科学基金会;

关键词：

INTEREST-RATES; RISK STRUCTURE; DEBT; CRISIS; BANKING; CREDIT;

D O I：

10.1086/666589

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper studies the maturity composition and the term structure of interest rate spreads of government debt in emerging markets. In the data, when interest rate spreads rise, debt maturity shortens and the spread on short-term bonds rises more than the spread on long-term bonds. We build a dynamic model of international borrowing with endogenous default and multiple debt maturities. Long-term debt provides a hedge against future fluctuations in spreads, whereas short-term debt is more effective at providing incentives to repay. The trade-off between these hedging and incentive benefits is quantitatively important for understanding the maturity structure in emerging markets.

引用

页码：187 / 232

页数：46