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Evaluierung hoheitlicher Länderrisiken

Author

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  • Helmut Krämer-Eis

Abstract

Hoheitliche Länderrisiken im hier beschriebenen Sinne sind bankbetriebliche Risiken, die im internationalen Kreditgeschaet durch die Zahlungsunfähigkeit oder -unwilligkeit der ausländischen Regierung entstehen. Länderrisiko-Analysen untersuchen folglich die Frage nach der Bonität eines Landes innerhalb eines durch die Kreditlaufzeit determinierten Planungshorizontes. Zunächst wird zur Deskription der Bedeutung der Auslandsverschuldung ein kurzer Abriß über den Stand und die Dynamik der Verschuldungslage der Entwicklungsländer gegeben. Im Anschluß daran erfolgt zur theoretischen Begründung der Notwendigkeit der Evaluation von Länderrisiken - ausgehend von dem bekannten Konstrukt des Akerlof'schen Zitronenmarktes und der Annahme eines ungebundenen Finanzkredits einer Geschäftsbank an einen Staat (Entwicklungsland) - eine Uebertragung dieses Modells auf internationale Kreditbeziehungen. Darüber hinaus wird ein Kreditrationierungsmodell angewendet, um die Reaktionen des Marktes bei asymmetrischer Informationsverteilung zu untersuchen, bevor in einem Agency-Signalling-Ansatz die Möglichkeit des Signalisierens durch den Kreditnehmer betrachtet wird. Aus den Modellen geht die besondere Bedeutung der den Kreditnehmern drohenden Strafkosten für nicht wahrheitsgemässes Signalling hervor. Die Strafkosten sind im internationalen Kreditgeschäft im Vergleich zur nationalen Kreditvergabe (z.B. im Firmenkundengeschaeft) nicht prohibitiv hoch; folglich ist ein Screening der als notwendig erachteten Informationen in Form der Länderrisiko-Analyse erforderlich. Da Länderrisiken keine objektiv festellbaren Größen und nicht direkt beobachtbar sind, muß nach stabilen Beziehungen zwischen beobachtbaren risikoverursachenden Parametern und Länderrisiken gesucht werden. Verschiedene Verfahren dazu werden hier synoptisch vorgestellt. Die in der Praxis am häufigsten eingesetzte Methode ist das Länderrating als Scoring-Modell, weshalb abschließend Rating-Beispiele aus der Praxis enumerativ aufgezeigt werden.

Suggested Citation

  • Helmut Krämer-Eis, 1998. "Evaluierung hoheitlicher Länderrisiken," Working Paper Series B 1998-01, Friedrich Schiller University of Jena, School of of Economics and Business Administration.
    • Handle: RePEc:jen:jenavo:1998-01
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    country risk; sovereign risk; country rating; external debt; credit rationing; agency signalling;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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