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On The Stock of External Sovereign Debt

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  • Mark Wright

    (UCLA)

  • Christine Richmond

    (International Monetary Fund)

  • Daniel Dias

    (UIUC - Economics & Cemapre)

Abstract

Data on the stock of sovereign debt are typically presented at "face value", defined as the undiscounted sum of future principal repayments. This measure has some obvious problems. As it includes only principal repayments, it can give a misleading depiction of relative indebtedness levels, and can give countries an incentive to distort debt issuance to hit simple staistical targets. As it is undiscounted, it can be a misleading indicator of the value of the debt to investors and the burden of repaying the debt to the country. In this paper, we use theory to guide us in the construction of several new measures of the stock of external sovereign debt for 150 countries from 1980 to 2006. We use our measures to bound the welfare gains from debt relief.

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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2012 Meeting Papers with number 490.

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Date of creation: 2012
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Handle: RePEc:red:sed012:490

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  1. Hatchondo, Juan Carlos & Martinez, Leonardo, 2009. "Long-duration bonds and sovereign defaults," Journal of International Economics, Elsevier, vol. 79(1), pages 117-125, September.
  2. Mark Aguiar & Gita Gopinath, 2004. "Defaultable debt, interest rates and the current account," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
  3. Cristina Arellano & Ananth Ramanarayanan, 2012. "Default and the Maturity Structure in Sovereign Bonds," Journal of Political Economy, University of Chicago Press, vol. 120(2), pages 187 - 232.
  4. Satyajit Chatterjee & Burcu Eyigungor, 2009. "Maturity, Indebtedness, and Default Risk," Koç University-TUSIAD Economic Research Forum Working Papers 0901, Koc University-TUSIAD Economic Research Forum.
  5. Vivian Z. Yue, 2005. "Sovereign Default and Debt Renegotiation," 2005 Meeting Papers 138, Society for Economic Dynamics.
  6. Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "The Forgotten History of Domestic Debt," NBER Working Papers 13946, National Bureau of Economic Research, Inc.
  7. Piga, Gustavo, 2001. "Do Governments Use Financial Derivatives Appropriately? Evidence from Sovereign Borrowers in Developed Economies," International Finance, Wiley Blackwell, vol. 4(2), pages 189-219, Summer.
  8. Alfaro, Laura & Kanczuk, Fabio, 2005. "Sovereign debt as a contingent claim: a quantitative approach," Journal of International Economics, Elsevier, vol. 65(2), pages 297-314, March.
  9. Grossman, Herschel I & Van Huyck, John B, 1988. "Sovereign Debt as a Contingent Claim: Excusable Default, Repudiation, and Reputation," American Economic Review, American Economic Association, vol. 78(5), pages 1088-97, December.
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Cited by:
  1. Daniel A. Dias & Christine J. Richmond & Mark L.J. Wright, 2011. "The Stock of External Sovereign Debt: Can We Take the Data At ‘Face Value’?," NBER Working Papers 17551, National Bureau of Economic Research, Inc.

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