Maturity, indebtedness, and default risk

Satyajit Chatterjee () and Burcu Eyigungor

No 11-33, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: In this paper, the authors advance the theory and computation of Eaton-Gersovitz style models of sovereign debt by incorporating long-term debt and proving the existence of an equilibrium price function with the property that the interest rate on debt is increasing in the amount borrowed and implementing a novel method of computing the equilibrium accurately. Using Argentina as a test case, they show that incorporating long-term debt allows the model to match the average external debt-to-output ratio, average spread on external debt, the standard deviation of spreads and simultaneously improve upon the model's ability to account for Argentina's other cyclical facts.

Keywords: Debts, Public; Debts, External (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-dge
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Citations: View citations in EconPapers (5)

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Related works:
Journal Article: Maturity, Indebtedness, and Default Risk (2012)
Working Paper: Maturity, indebtedness, and default risk (2010)
Working Paper: Maturity, indebtedness, and default risk (2009)
Working Paper: Maturity, Indebtedness, and Default Risk (2009)
Working Paper: Maturity, Indebtedness and Default Risk (2008)
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