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020129s2015 dcu o i00 0 eng d |
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|z 9781513523507
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|a 1018-5941
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|a 10.5089/9781513523507.001
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|a (IMF)imf1stpea2015001
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|a (IMF)1STPEA2015001
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|a DcWaIMF
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|a Catao, Luis.
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|a Default Premium /
|c Luis Catao, Rui Mano.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2015.
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|a 1 online resource (57 pages)
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|a text
|b txt
|2 rdacontent.
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|a IMF Working Papers.
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|a We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a 'default premium' (DP) that is consistent with asymmetric information models and nests previous metrics, and applies it to a much broader dataset relative to earlier studies. We find a sizeable and persistent DP: in 1870-1938, it averaged 250 bps upon market re-entry, tapering to around 150 bps five years out; in 1970- 2011 the respective estimates are about 400 and 200 bps. We also find that: (i) these estimates are robust to many controls including on actual haircuts; (ii) the DP accounts for as much as 60% of the sovereign spread within five years of market re-entry; (iii) the DP rises with market exclusion spells. These findings help reconnect theory and evidence on why sovereign defaults are infrequent and earlier debt settlements are desirable.
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|a Description based on print version record.
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|a Mano, Rui.
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776 |
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|i Print Version:
|a Catao, Luis
|t Default Premium
|d Washington, D.C. : International Monetary Fund, 2021.
|z 9781513523507.
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830 |
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|a IMF working paper ;
|v WP/2015/167.
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|u http://elibrary.imf.org/view/journals/001/2015/167/001.2015.issue-167-en.xml
|z Full Text (via IMF e-Library)
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|a .b109432496
|b 05-02-23
|c 04-07-20
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|a University of Colorado Boulder
|b Online
|c Online
|d Online
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