Costos de Default

The Economist tiene un articulo que resume distintos trabajos hechos sobre “cuan costoso es para los Soberanos defaultear”.

Como siempre Argentina, un outlier.

Defaulting does affect the cost of funds to a country. A study in 2006 by a trio of economists at the Bank of England found that countries which defaulted between 1970 and 2000 had both a higher bond spread and a lower credit rating in 2003-05 than countries with the same debt-to-GDP ratio which did not default. In their study Messrs Borensztein and Panizza show that having defaulted is associated with a credit-rating downgrade of nearly two notches. Using data for 1972-2000, they also find sizeable jumps in bond spreads after a default. In the first year spreads widen on average by four percentage points. This additional cost declines to 2.5 percentage points the year after. These figures may understate the pain, however: as the Greek case shows, worries about default are enough in themselves to lead to an extended period of high spreads.

That said, markets appear to have short memories. Only the most recent defaults matter and the effects on spreads are short-lived. Messrs Borensztein and Panizza find that credit ratings between 1999 and 2002 were affected only by defaults since 1995. They find that defaults have no significant effect on bond spreads after the second year. This tallies with earlier research by Barry Eichengreen and Richard Portes. Studying bonds issued in the 1920s, they also found that recent defaults resulted in higher spreads but more distant ones had no effect.

Al final del articulo, estan los nombres de los papers.

The Costs of Sovereign Default”, by Eduardo Borensztein and Ugo Panizza. IMF working paper, October 2008

Costs of Sovereign Default”, by Bianca De Paoli, Glenn Hoggarth and Victoria Saporta, Bank of England, July 2006

Sovereign Default Risk and Private Sector Access to Capital in Emerging Markets”, by Udaibir Das, Michael Papaioannou, and Christopher Trebesch, IMF Working Paper, January 2010

Crisis? What Crisis? Orderly Workouts for Sovereign Debtors”. Centre for Economic Policy Research, 1995


2 Responses to “Costos de Default”

  1. April 5, 2010 at 11:05 pm

    Hay un buen paper de Levy Yeyati publicado en el IDB al respecto.


    Basicamente dice que el costo del default se asume “antes” del default, lo que implica que mucha de la biblioteca que tenemos esta mal.

    • April 6, 2010 at 12:19 am

      Gracias por el dato del paper.

      Lo escribio con Panizza, que en el trabajo 2008, afirma con Borenztein “Our results suggest that default costs remain somewhat vaguely defined, and difficult to quantify (…) Perhaps the most robust and striking finding is that the effect of defaults is short lived, as we almost never can detect effects beyond one or two years”

      Saludos y muy interesante tu blog (http://quienlopaga.blogspot.com/)

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