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Growth-Indexed Bonds in Emerging Markets: a Quantitative Approach

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Author Info
Andre Faria () (Research Department IMF)

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Abstract

In the aftermath of sovereign defaults and financial crises in the 1990s, there have been calls for the widespread use by sovereigns of equity-like financial instruments, in particular, of GDP-indexed bonds. This paper calibrates a general equilibrium model with endogenous default to a typical emerging market economy and evaluates whether the existence of a (partially) GDP-indexed bond, as proposed in the literature, is quantitatively important in what concerns spreads, debt to GDP ratios, and the likelihood of default

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File URL: http://repec.org/sed2006/up.18903.1140058027.pdf
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Publisher Info
Paper provided by Society for Economic Dynamics in its series 2006 Meeting Papers with number 847.

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Date of creation: 03 Dec 2006
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Handle: RePEc:red:sed006:847

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Related research
Keywords: Sovereign debt GDP-indexed bonds Spreads Emerging markets Default

Find related papers by JEL classification:
D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates
F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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