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An Econometric analysis of IBRD creditworthiness

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  • David McKenzie

Abstract

This paper finds that one can econometrically ascertain the determinants of default to the International Bank for Reconstruction and Development (IBRD) through panel logit analysis. Creditworthiness is found to be determined by political and external factors in addition to economic variables. Default to the IBRD is seen to fall into a graduated hierarchy of default, whereby default occurs first to Paris Club and Commercial Bank creditors, with subsequent default to the IBRD being triggered by a high proportion of IBRD and short-term debt in the portfolio and other economic and political factors.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/1016873042000299927
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal International Economic Journal.

Volume (Year): 18 (2001)
Issue (Month): 4 ()
Pages: 427-448

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Handle: RePEc:taf:intecj:v:18:y:2001:i:4:p:427-448

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Related research

Keywords: Sovereign default; creditworthiness; international lenders; JEL Classification: F34; G15; G29;

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References

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  1. Hajivassiliou, V. A., 1989. "Do the secondary markets believe in life after debt?," Policy Research Working Paper Series 252, The World Bank.
  2. Kaufmann, Daniel & Kraay, Aart & Zoido-Lobaton, Pablo, 1999. "Governance matters," Policy Research Working Paper Series 2196, The World Bank.
  3. Hajivassiliou, V A, 1994. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 109-31, April-Jun.
  4. Feder, Gershon & Just, Richard & Ross, Knud, 1981. "Projecting Debt Servicing Capacity of Developing Countries," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(05), pages 651-669, December.
  5. Kaufmann, Daniel & Kraay, Aart & Zoido-Lobaton, Pablo, 1999. "Aggregating governance indicators," Policy Research Working Paper Series 2195, The World Bank.
  6. Chamberlain, Gary, 1980. "Analysis of Covariance with Qualitative Data," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 225-38, January.
  7. Suk Hun Lee, 1993. "Relative Importance of Political Instability and Economic Variables on Perceived Country Creditworthiness," Journal of International Business Studies, Palgrave Macmillan, vol. 24(4), pages 801-812, December.
  8. Feder, Gershon & Just, Richard E., 1977. "A study of debt servicing capacity applying logit analysis," Journal of Development Economics, Elsevier, vol. 4(1), pages 25-38, February.
  9. Brewer, Thomas L & Rivoli, Pietra, 1990. "Politics and Perceived Country Creditworthiness in International Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(3), pages 357-69, August.
  10. Dhrymes, Phoebus J., 1986. "Limited dependent variables," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 3, chapter 27, pages 1567-1631 Elsevier.
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Cited by:
  1. R. Gaston Gelos, Ratna Sahay and Guido Sandleris, 2008. "Sovereign Borrowing by Developing Countries: What Determines Market Access?," Business School Working Papers 2008-02, Universidad Torcuato Di Tella.

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