A duration analysis of sovereign debt
Abstract/Contents
- Abstract
- A two-state duration model with recurrent events is developed to investigate the determinants of time to default and time to settlement jointly for a relatively large sample of developing countries in the post-war period. It explicitly addresses state dependence in sovereign debt-servicing behavior and explores a possible link between default and debt settlement. The maximum likelihood estimation results suggest that the default and settlement hazards have different determinants: the default hazard is largely predicted by macroeconomic fundamentals, whereas the settlement hazard is linked more with intuitional factors and default history. Controlling for country-specific unobserved heterogeneities is important for consistent estimation of the covariate effects and the results also indicate significant efficiency gains from the joint estimation. The time-aggregation issue is discussed further with numerical examples under various assumptions for the baseline.
Description
| Type of resource | text |
|---|---|
| Form | electronic; electronic resource; remote |
| Extent | 1 online resource. |
| Publication date | 2010 |
| Issuance | monographic |
| Language | English |
Creators/Contributors
| Associated with | Guo Haiqiu |
|---|---|
| Associated with | Stanford University, Department of Economics |
| Primary advisor | Amemiya, Takeshi |
| Primary advisor | Boskin, Michael J |
| Thesis advisor | Amemiya, Takeshi |
| Thesis advisor | Boskin, Michael J |
| Thesis advisor | Lau, Lawrence J, 1944- |
| Advisor | Lau, Lawrence J, 1944- |
Subjects
| Genre | Theses |
|---|
Bibliographic information
| Statement of responsibility | Guo Haiqiu. |
|---|---|
| Note | Submitted to the Department of Economics. |
| Thesis | Thesis (Ph.D.)--Stanford University, 2010. |
| Location | electronic resource |
Access conditions
- Copyright
- © 2010 by Guo Haiqiu
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