Developing Country Debt: Defaults and Credit Terms-- ROW Planning Grant

这是一项计划拨款，旨在更全面地了解商业银行对发展中国家贷款的演变情况。更具体地说，该项目侧重于一国不偿还债务对其在新发放的贷款中随后的信贷条件以及在债务重新安排中随后的信贷条件的影响。研究者构建了一个关注借款人声誉的模型来研究违约后的利率动态。这是一个重大贡献，因为现有的借款人声誉模型假定，违约者永远不能在资本市场再次借款，但事实并非如此。在这个项目中，调查者扩展了先前研究中使用的数据库，以构建对欧洲货币信贷市场违约后的利率行为进行实证调查所需的数据库。创建一个关于最近违约时代的更全面的数据库是非常有价值的，因为过去的经验研究集中在借款国早先的违约事件上。调查人员对部分数据进行的初步研究表明，最近的违约对借款国信用的影响与之前的情况不同。更好的数据将使人们能够系统地调查最近的违约对资本市场产生不同于过去影响的原因。这一规划赠款应得到支持，因为它改进了有关发展中国家债务这一及时而重要问题的理论和数据。该项目下完成的工作将为调查员对这一领域中许多悬而未决的问题进行实证研究奠定基础。

This is a ROW Planning Grant to develop a more complete picture of the evolution of commercial bank lending to developing countries. More specifically, the project focuses on the effect of a country's nonpayment of debt on its subsequent credit terms in the new loans issued and its subsequent credit terms in debt reschedulings. The investigator constructs a model that focuses on borrowers' reputation to study interest rate dynamics after defaults. This is a significant contribution because existing models of borrower reputation assume that a defaulter is never able to borrow again in capital markets which is not true. In this project the investigator extends data bases employed in previous research to construct the data base necessary to investigate empirically the behavior of interest rates following defaults in the Eurocurrency credit markets. Creating a more comprehensive data base on the recent era of defaults is very valuable because past empirical work has been concentrated on earlier episodes of default by borrower nations. Preliminary work by the investigator on partial data demonstrates that the recent defaults have had a different impact on the credit of borrower nations than earlier episodes. Better data will permit a systematic investigation of the reasons why recent defaults have had different effects on the capital markets than in the past. This planning grant should be supported because it improves the theory and the data on the timely and important issue of developing country debt. The work completed under this project will lay the foundation for empirical studies by the investigator of the many unresolved questions in this area.