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Essays in Sovereign Debt and Default.

Mukherjee, Mudra.

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Essays in Sovereign Debt and Default.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in Sovereign Debt and Default./
Author:	Mukherjee, Mudra.
Description:	115 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-07(E), Section: A.
Contained By:	Dissertation Abstracts International77-07A(E).
Subject:	Economic theory. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10029010
ISBN:	9781339529653

Essays in Sovereign Debt and Default.
Mukherjee, Mudra.

Essays in Sovereign Debt and Default. - 115 p.

Source: Dissertation Abstracts International, Volume: 77-07(E), Section: A.

Thesis (Ph.D.)--The Ohio State University, 2015.

This dissertation explores various issues and consequences related to sovereign debt and default. In particular, I investigate issues related to sovereign debt and default in the context of emerging and developing economies.

ISBN: 9781339529653Subjects--Topical Terms:

1556984
Economic theory.

Essays in Sovereign Debt and Default.
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100 1 $a Mukherjee, Mudra. $3 3190733
245 1 0 $a Essays in Sovereign Debt and Default.
300 $a 115 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-07(E), Section: A.
500 $a Adviser: Pok-Sang Lam.
502 $a Thesis (Ph.D.)--The Ohio State University, 2015.
520 $a This dissertation explores various issues and consequences related to sovereign debt and default. In particular, I investigate issues related to sovereign debt and default in the context of emerging and developing economies.
520 $a The first chapter is concerned with the following question: It has been seen that emerging economies have accumulated substantial quantities of debt with short term maturities as well as international reserves in the past. Since having either of these assets has a cost associated with it, it is not clear why emerging economies would choose to have both these assets in their portfolio. To explain this phenomenon I modify and extend the Eaton and Gersovitz (1981) setup of sovereign default models to incorporate "sudden stops" which are modelled as collateral constraints. This leads to joint accumulation of short term debt and international reserves in these models in equilibrium. Previous studies such as Alfaro and Kanczuk have failed to generate short term debt debt and international reserves simultaneously in their model in equilibrium.
520 $a The second essay studies the determinants of sovereign credit ratings from 1990-2013 in developing economies and emerging markets. We seek to observe if there was a change in the determinants in this period especially due to the global financial crisis. Our work identified the current account balance, average GDP growth, government effectiveness, average inflation and average external debt to be significant determinants of the sovereign credit ratings. This was based on estimating ordered response models such as an ordered probit model and an ordered logit model on the data. We also observed that the main determinants of sovereign credit ratings did not change before and after the financial crisis but these variables had a significant change in coefficients. It was also found that the observed credit ratings had very low predictive power for predicting future financial crisis. This was in contrast to actual macroeconomic determinants which had a significantly better predictive power for predicting financial crisis.
520 $a For my third essay, I explore the relationship between local currency bonds and inflation. Till about a decade ago, emerging market economies were unable to borrow from foreign investors in their local currency. However this phenomenon of Original sin has started to diminish over the past decade. In our work we seek to analyze the effect of the presence of local currency bonds in an emerging markets portfolio along with the inflation and exogenous monetary shocks. We extend the Eaton and Gersovitz (1981) framework to incorporate the presence of two different kinds of assets and a partial default framework alongside the existing full default framework.We then analyze the effects of the presence of these two assets under full default as well as partial default in the model. In equilibrium, our model holds both local currency as well as foreign currency debt. Likewise, both partial and full defaults are also observed in equilibrium.
590 $a School code: 0168.
650 4 $a Economic theory. $3 1556984
650 4 $a Finance. $3 542899
690 $a 0511
690 $a 0508
710 2 $a The Ohio State University. $b Economics. $3 1673045
773 0 $t Dissertation Abstracts International $g 77-07A(E).
790 $a 0168
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10029010