Predicting Sovereign Debt Crises

Author : Paolo Manasse
Publisher : International Monetary Fund
ISBN 13 : 1451875258
Total Pages : 42 pages
Book Rating : 4.56/5 ( download)

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Download or read book Predicting Sovereign Debt Crises written by Paolo Manasse and published by International Monetary Fund. This book was released on 2003-11-01 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard & Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive tree analysis, we identify macroeconomic variables reflecting solvency and liquidity factors that predict a debt-crisis episode one year in advance. The logit model predicts 74 percent of all crises entries while sending few false alarms, and the recursive tree 89 percent while sending more false alarms.

Author : Paolo Manasse
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.91/5 ( download)

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Download or read book Predicting Sovereign Debt Crises written by Paolo Manasse and published by . This book was released on 2006 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop an early-warning model of sovereign debt crises. A country is defined to be in a debt crisis if it is classified as being in default by Standard amp; Poor's, or if it has access to nonconcessional IMF financing in excess of 100 percent of quota. By means of logit and binary recursive tree analysis, we identify macroeconomic variables reflecting solvency and liquidity factors that predict a debt-crisis episode one year in advance. The logit model predicts 74 percent of all crises entries while sending few false alarms, and the recursive tree 89 percent while sending more false alarms.

Author : Mr.Francisco Roch
Publisher : International Monetary Fund
ISBN 13 : 1475581025
Total Pages : 46 pages
Book Rating : 4.27/5 ( download)

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Download or read book The Dynamics of Sovereign Debt Crises and Bailouts written by Mr.Francisco Roch and published by International Monetary Fund. This book was released on 2016-07-11 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the recent European debt crisis, this paper investigates the scope for a bailout guarantee in a sovereign debt crisis. Defaults may arise from negative income shocks, government impatience or a "sunspot"-coordinated buyers strike. We introduce a bailout agency, and characterize the minimal actuarially fair intervention that guarantees the no-buyers-strike fundamental equilibrium, relying on the market for residual financing. The intervention makes it cheaper for governments to borrow, inducing them borrow more, leaving default probabilities possibly rather unchanged. The maximal backstop will be pulled precisely when fundamentals worsen.

Author : Paolo Manasse
Publisher : INTERNATIONAL MONETARY FUND
ISBN 13 : 9781451860610
Total Pages : 32 pages
Book Rating : 4.17/5 ( download)

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Download or read book “Rules of Thumb” for Sovereign Debt Crises written by Paolo Manasse and published by INTERNATIONAL MONETARY FUND. This book was released on 2005-03-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper contains an empirical investigation of the set of economic and political conditions that are associated with a likely occurrence of a sovereign debt crisis. We use a new statistical approach (Binary Recursive Tree) that allows us to derive a collection of "rules of thumb" that help identify the typical characteristics of defaulters. We find that not all crises are equal: they differ depending on whether the government faces insolvency, illiquidity, or various macroeconomic risks. We also characterize the set of fundamentals that can be associated with a relatively "risk free" zone. This classification is important for discussing appropriate policy options to prevent crises and improve response time and prediction.

Author : Mark Kruger
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.82/5 ( download)

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Download or read book Sovereign Debt Defaults and Financing Needs written by Mark Kruger and published by International Monetary Fund. This book was released on 2004-03 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We construct a financial vulnerability indicator that is consistent with the theoretical literature on determinants of defaults. It is based on the amount of new foreign financing that is needed to avoid a default or an import adjustment, expressed as a proportion of the country's sources of foreign currency. As the need for new foreign financing increases, so does a country's financial vulnerability. The indicator has a higher correlation with default episodes than other indicators used in previous studies. In addition, the level at which it leads to a high probability of default is comparable across countries.

Author : M. Ayhan Kose
Publisher : World Bank Publications
ISBN 13 : 1464815453
Total Pages : 403 pages
Book Rating : 4.54/5 ( download)

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Download or read book Global Waves of Debt written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2021-03-03 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Author : Ms.Carmen Reinhart
Publisher : International Monetary Fund
ISBN 13 : 1475552874
Total Pages : 21 pages
Book Rating : 4.74/5 ( download)

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Download or read book Financial and Sovereign Debt Crises written by Ms.Carmen Reinhart and published by International Monetary Fund. This book was released on 2013-12-24 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Even after one of the most severe multi-year crises on record in the advanced economies, the received wisdom in policy circles clings to the notion that high-income countries are completely different from their emerging market counterparts. The current phase of the official policy approach is predicated on the assumption that debt sustainability can be achieved through a mix of austerity, forbearance and growth. The claim is that advanced countries do not need to resort to the standard toolkit of emerging markets, including debt restructurings and conversions, higher inflation, capital controls and other forms of financial repression. As we document, this claim is at odds with the historical track record of most advanced economies, where debt restructuring or conversions, financial Repression, and a tolerance for higher inflation, or a combination of these were an integral part of the resolution of significant past debt overhangs.

Author : Hippolyte W. Balima
Publisher : International Monetary Fund
ISBN 13 : 1484393414
Total Pages : 38 pages
Book Rating : 4.13/5 ( download)

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Download or read book The Impact of Bailouts on the Probability of Sovereign Debt Crises: Evidence from IMF-Supported Programs written by Hippolyte W. Balima and published by International Monetary Fund. This book was released on 2019-01-11 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the role of IMF-supported programs in mitigating the likelihood of subsequent sovereign defaults in borrowing countries. Using a panel of 106 developing countries from 1970 to 2016 and an entropy balancing methodology, we find that IMF-supported programs significantly reduce the likelihood of subsequent sovereign defaults. This finding is robust to different specifications of the entropy balancing and alternative identification strategies. Our results suggest that a country that signs a program with the IMF, typically experiences a slight improvement in its sovereign credit rating and a decrease in both government debt-to-GDP and fiscal deficit-to-GDP.

Author : Rob Quail
Publisher : John Wiley & Sons
ISBN 13 : 1118017552
Total Pages : 435 pages
Book Rating : 4.55/5 ( download)

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Download or read book Sovereign Debt written by Rob Quail and published by John Wiley & Sons. This book was released on 2011-02-25 with total page 435 pages. Available in PDF, EPUB and Kindle. Book excerpt: An intelligent analysis of the dangers, opportunities, and consequences of global sovereign debt Sovereign debt is growing internationally at a terrifying rate, as nations seek to prop up their collapsing economies. One only needs to look at the sovereign risk pressures faced by Greece, Spain, and Ireland to get an idea of how big this problem has become. Understanding this dilemma is now more important than ever, that's why Robert Kolb has compiled Sovereign Debt. With this book as your guide, you'll gain a better perspective on the essential issues surrounding sovereign debt and default through discussions of national defaults, systemic risk, associated costs, and much more. Historical studies are also included to provide a realistic framework of reference. Contains up-to-date research and analysis on sovereign debt from today's leading practitioners and academics Details the dangers of defaults and their associated systemic risks Explores the past, present, and future of sovereign debt The repercussions of a national default are all-encompassing as global markets are intricately interwoven in the modern world. Sovereign Debt examines what it will take to overcome the challenges of this market and how you can deal with the uncertainty surrounding it.

Author : Vinod K. Aggarwal
Publisher : Chatham House (Formerly Riia)
ISBN 13 :
Total Pages : 312 pages
Book Rating : 4.20/5 ( download)

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Download or read book Sovereign Debt written by Vinod K. Aggarwal and published by Chatham House (Formerly Riia). This book was released on 2003 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work examines the ongoing debate on resolving sovereign debt defaults and alleviating the debt burden of heavily indebted poor countries. Concentrating primarily on the period from the 1982 and focusing on money owed to both the public and the private sector, the volume examines the origins of debt crises, rescheduling tactics, and efforts to create a more enduring solution to the problem of coping with debt, as well as its efficacy. Policy recommendations are put forward for dealing with the onerous problem of debt default and rescheduling.