A game theoretical approach to the international debt overhang
A game theoretical approach to the international debt overhang
复制标题
解决国际债务过剩问题的博弈论方法
DOI：
10.1007/bf01234799
复制
发表时间：
1993
期刊：
影响因子：
--
通讯作者：
J. Prokop
中科院分区：
文献类型：
--
作者：
M. Kaneko;J. Prokop
我们考虑一个国际金融问题，称为债务悬置，我们的意思是一个主权国家从外国银行借款，并已无法履行预定的偿还一段时间的情况。这个问题被制定为一个非合作的游戏与nlender银行作为球员，每个决定要么出售其贷款风险的债务国在二级市场上的债务的当前价格，或等待，并保持其曝光。这个博弈有很多纯策略和混合策略的纳什均衡。然而，我们表明，在任何纳什均衡，由此产生的二级市场价格仍然几乎相同的目前的价格为大量的银行。我们还得到了一个比较静态的结果，在一个混合策略均衡，一个银行与较小的贷款风险敞口有更大的倾向于出售比一个较大的贷款风险敞口。我们将讨论这些结果对二级市场运作和解决债务积压的影响。
We consider an international financial problem called debt overhang, by which we mean a situation where a sovereign country has borrowed money from foreign banks and has been unable to fulfill the scheduled repayments for some period. The problem is formulated as a noncooperative game withnlender banks as players where each decides either to sell its loan exposure to the debtor country at the present price of debt on the secondary market, or to wait and keep its exposure. This game has many pure and mixed strategy Nash equilibria. We show, however, that in any Nash equilibrium, the resulting secondary market price remains almost the same as the present price for a large number of banks. We also obtain the comparative statics result that in a mixed strategy equilibrium, a bank with a smaller loan exposure has a greater tendency to sell than one with a larger loan exposure. We discuss the implications of these results for the functioning of the secondary market and the resolution of debt overhang.