Publication:
Sovereign default and the choice of maturity

Thumbnail Image
Identifiers
URI: https://hdl.handle.net/10016/34473
ISSN: 0304-3932
DOI: https://doi.org/10.1016/j.jmoneco.2018.01.001
UXXI: AR/0000022384
Files
sovereign_JME_2018_ps.pdf (987.7 KB)
Publication date
2018-05-01
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Impact
Google Scholar
Export
Research Projects
Organizational Units
Journal Issue
Abstract
This study develops a novel model of endogenous sovereign debt maturity that rationalizes various stylized facts about debt maturity and the yield spread curve: first, sovereign debt duration and maturity generally exceed one year, and co-move positively with the business cycle. Second, sovereign yield spread curves are usually non-linear and upward-sloped, and may become non-monotonic and inverted during a period of high credit market stress, such as a default episode. Finally, output volatility, impatience, risk aversion, and especially sudden stops, are key determinants of maturity, both in our model and in the data.
Description
Keywords
Crises, Default, Yield curve, Spreads, Bond duration, Finance, Sovereign maturity choice
Bibliographic citation
Sánchez, J. M., Sapriza, H., & Yurdagul, E. (2018). Sovereign default and maturity choice. Journal of Monetary Economics ,95, pp. 72-85.
Collections
DE - Artículos de Revistas