Comment on “GDP-Linked Bonds and Sovereign Default” by David Barr, Oliver Bush and Alex Pienkowski

Enrique Kawamura

Chapter 4.4 in Life After Debt, 2014, pp 276-280 from Palgrave Macmillan

Abstract: Abstract This paper presents a quantitative exercise to study how the introduction of a GDP-linked bond by a government in a financial market implies changes in the probability of default, comparing it with the case with a standard debt instrument promising a riskless unit of the numeraire good if no default occurs. This exercise can be viewed as an extension of that in Ghosh et al. (2011), although assuming a different fiscal reaction function and a case where investors are risk averse instead of risk neutral, as it is the case in the original Ghosh et al. (2011) paper.

Keywords: Real Exchange Rate; Reaction Function; Fiscal Consolidation; Sovereign Bond; Emerge Market Country (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:intecp:978-1-137-41148-8_17

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DOI: 10.1057/9781137411488_17

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