Sovereign Debt Restructuring: A Dynamic Discrete Choice Approach

Maximiliano Dvorkin, Emircan Yurdagul, Horacio Sapriza and Juan Sanchez

No 1273, 2018 Meeting Papers from Society for Economic Dynamics

Abstract: Sovereign debt crises generally involve debt restructurings characterized by debt maturity extensions, delayed payments, face-value haircuts, and temporary financial autarky. We develop a novel quantitative model of endogenous sovereign debt maturity choice and restructuring that rationalizes the debt dynamics observed around distressed debt restructurings. The use of dynamic discrete choice solution methods allows us to smooth the borrower's decision rules on default and debt portfolio choices, rendering the problem tractable.

Date: 2018
New Economics Papers: this item is included in nep-dcm and nep-dge
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
https://red-files-public.s3.amazonaws.com/meetpapers/2018/paper_1273.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:red:sed018:1273

Access Statistics for this paper

More papers in 2018 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().