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Pricing Sovereign Debt in Resource-Rich Economies
by Thomas McGregor

Series:Working Paper No. 19/240
ISBN 9781513516431
Code: #WPIEA2019240

Publication year: 2019

Cdn: $27.00; US: $25.00
Paperback
Language: English
30 pages
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How do oil price movements affect sovereign spreads in an oil-dependent economy? I develop a stochastic general equilibrium model of an economy exposed to co-moving oil price and output processes, with endogenous sovereign default risk. The model explains a large proportion of business cycle fluctuations in interest-rate spreads in oil-exporting emerging market economies, particularly the countercyclicallity of interest rate spreads and oil prices. Higher risk-aversion, more impatient governments, larger oil shares and a stronger correlation between domestic output and oil price shocks all lead to stronger co-movements between risk premiums and the oil price.
Pricing Sovereign Debt in Resource-Rich Economies
Cdn: $27.00; US: $25.00
International Monetary Fund (IMF) BookID: 126356 Added: 2019.11.23