Sovereign Debt Maturity Structure and Dilution Singh, Rajesh Hasan, Mohammad
dc.contributor.department Economics 2023-11-01T14:33:10Z 2023-11-01T14:33:10Z 2023-10-31
dc.description.abstract The maturity structure of debt plays an important role in default probability and the resulting pricing of sovereign bonds. Using a calibrated model this paper shows that both the default probabilities and the prices get improved when the sovereign issues long-term bonds or both short- and long-term bonds instead of issuing only short-term bonds. This paper also shows that the inclusion of the compensation covenant mitigates the dilution problem of sovereign debt on a larger scale when the maturity of long-term bonds is sufficiently high.
dc.description.comments JEL Classification: F34, H63 Length: 47 pages Original Release Date: October 31, 2023 Copyright 2023, The Authors
dc.language.iso en
dc.relation.ispartofseries 23007
dc.subject.disciplines DegreeDisciplines::Social and Behavioral Sciences::Economics
dc.subject.keywords Sovereign debt
dc.subject.keywords Sovereign default
dc.subject.keywords Maturity structure
dc.subject.keywords Debt dilution
dc.subject.keywords Compensation covenant
dc.title Sovereign Debt Maturity Structure and Dilution
dc.type Working Paper
dspace.entity.type Publication
relation.isAuthorOfPublication b0ee400a-97b2-4e8f-9788-e92d754b1a5c
relation.isOrgUnitOfPublication 4c5aa914-a84a-4951-ab5f-3f60f4b65b3d
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