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Examining the influence of moral suasion on sovereign debt default risk
Asia Pacific Management Review Pub Date : 2019-03-01 , DOI: 10.1016/j.apmrv.2018.10.006
Chien-Jung Ting

Abstract In this paper, we verify whether moral suasion will reduce sovereign debt default risk. We specify the effect of portfolio home bias toward domestic assets on sovereign debt default by using the dynamic panel data model, which can be used to control for common global factors and country factors with fundamentals. In contrast to other studies, we use the Merton model (contingent claims analysis) to calculate the sovereign default risk because this constructed-indicator can reflect variations in credit risk and the market value of the balance sheet of a country. Our empirical results point out that periphery countries (Greece, Italy, Ireland, Portugal, Spain, or GIIPS) indeed reduce sovereign debt default risk via portfolio home bias toward domestic equity and bonds. Core countries tend to reduce sovereign debt default risk via home sovereign bond holdings. However, in the aftermath of sovereign debt default, moral suasion will increase sovereign debt default risk in periphery countries.

中文翻译:

研究道德劝说对主权债务违约风险的影响

摘要本文验证了道德劝说是否会降低主权债务违约风险。通过使用动态面板数据模型,我们可以指定投资组合本国对国内资产的偏向对主权债务违约的影响,该模型可用于控制具有基本面的共同的全球因素和国家因素。与其他研究相比,我们使用默顿模型(或有债权分析)来计算主权违约风险,因为该构造指标可以反映信贷风险和一国资产负债表市值的变化。我们的经验结果指出,外围国家(希腊,意大利,爱尔兰,葡萄牙,西班牙或GIIPS)确实通过投资组合本国偏向国内股票和债券的方式降低了主权债务违约风险。核心国家倾向于通过持有本国主权债券来降低主权债务违约风险。但是,在主权债务违约后,道德劝导会增加外围国家的主权债务违约风险。
更新日期:2019-03-01
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