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Growth-Indexed Bonds in Emerging Markets: a Quantitative Approach

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Author Info
Andre Faria () (Research Department IMF)
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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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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This page was last updated on 2009-11-26.

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