메뉴 건너뛰기




Volumn 77, Issue 1, 2009, Pages 23-36

Optimal reserve management and sovereign debt

Author keywords

Default; Foreign reserves; Sovereign debt; Sudden stops; Sustainability

Indexed keywords

DEBT CRISIS; FOREIGN DIRECT INVESTMENT; INTEREST RATE; NUMERICAL MODEL; OPTIMIZATION; STOCHASTICITY; STOCK MARKET; WILLINGNESS TO PAY;

EID: 57849083409     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jinteco.2008.09.005     Document Type: Article
Times cited : (87)

References (38)
  • 1
    • 33646200768 scopus 로고    scopus 로고
    • Defaultable debt, interest rates and the current account
    • Aguiar M., and Gopinath G. Defaultable debt, interest rates and the current account. Journal of International Economics 69 (2006) 64-83
    • (2006) Journal of International Economics , vol.69 , pp. 64-83
    • Aguiar, M.1    Gopinath, G.2
  • 2
    • 57849096291 scopus 로고    scopus 로고
    • Amador, Manuel. 2003. "A political economy model of sovereign debt repayment," mimeo.
    • Amador, Manuel. 2003. "A political economy model of sovereign debt repayment," mimeo.
  • 3
    • 3242891869 scopus 로고    scopus 로고
    • International reserve holdings with sovereign risk and costly tax collection
    • Aizenman J., and Marion N. International reserve holdings with sovereign risk and costly tax collection. The Economic Journal 114 (2003) 569-591
    • (2003) The Economic Journal , vol.114 , pp. 569-591
    • Aizenman, J.1    Marion, N.2
  • 4
    • 57849118450 scopus 로고    scopus 로고
    • International reserves: precautionary versus mercantilist views, theory and evidence
    • Aizenman J., and Lee J. International reserves: precautionary versus mercantilist views, theory and evidence. IMF Working Paper 01/198 (2005)
    • (2005) IMF Working Paper 01/198
    • Aizenman, J.1    Lee, J.2
  • 5
    • 14644413565 scopus 로고    scopus 로고
    • Sovereign debt as a contingent claim: a quantitative approach
    • Alfaro L., and Kanczuk F. Sovereign debt as a contingent claim: a quantitative approach. Journal of International Economics 65 (2005) 297-314
    • (2005) Journal of International Economics , vol.65 , pp. 297-314
    • Alfaro, L.1    Kanczuk, F.2
  • 6
    • 58149302923 scopus 로고    scopus 로고
    • Arellano, C., 2008. "Default risk and income fluctuations in emerging markets," American Economic Review. 98, 690-712.
    • Arellano, C., 2008. "Default risk and income fluctuations in emerging markets," American Economic Review. 98, 690-712.
  • 7
    • 13844282198 scopus 로고    scopus 로고
    • Credit frictions and 'sudden stops' in small open economies: an equilibrium business cycle framework for emerging market crises
    • Altug, Chandha, and Nolan (Eds), Cambridge University Press
    • Arellano C., and Mendoza E. Credit frictions and 'sudden stops' in small open economies: an equilibrium business cycle framework for emerging market crises. In: Altug, Chandha, and Nolan (Eds). Dynamic Macroeconomics Analysis: Theory and Policy in General Equilibrium (2003), Cambridge University Press
    • (2003) Dynamic Macroeconomics Analysis: Theory and Policy in General Equilibrium
    • Arellano, C.1    Mendoza, E.2
  • 8
    • 57849084039 scopus 로고    scopus 로고
    • On the international financial architecture: insuring emerging markets
    • Caballero R. On the international financial architecture: insuring emerging markets. NBER Working Paper 9570 (2003)
    • (2003) NBER Working Paper 9570
    • Caballero, R.1
  • 9
    • 57849154519 scopus 로고    scopus 로고
    • Caballero, R. and Panageas, S. 2005. "Contingent reserves management: an applied framework," mimeo.
    • Caballero, R. and Panageas, S. 2005. "Contingent reserves management: an applied framework," mimeo.
  • 10
    • 0003024831 scopus 로고    scopus 로고
    • Capital flows and capital market crises: the simple economics of sudden stops
    • Calvo G. Capital flows and capital market crises: the simple economics of sudden stops. Journal of Applied Economics 1 (1998) 35-54
    • (1998) Journal of Applied Economics , vol.1 , pp. 35-54
    • Calvo, G.1
  • 11
    • 4444263983 scopus 로고    scopus 로고
    • Balance of payments crises in emerging markets: large capital inflows and sovereign governments
    • Krugman P. (Ed), The University of Chicago Press, Chicago
    • Calvo G. Balance of payments crises in emerging markets: large capital inflows and sovereign governments. In: Krugman P. (Ed). Currency Crises (2000), The University of Chicago Press, Chicago
    • (2000) Currency Crises
    • Calvo, G.1
  • 13
    • 57849159455 scopus 로고    scopus 로고
    • Phoenix miracles in emerging markets: recovering without credit from systemic financial crises
    • Calvo G., Izquierdo A., and Talvi E. Phoenix miracles in emerging markets: recovering without credit from systemic financial crises. NBER Working Paper 12101 (2006)
    • (2006) NBER Working Paper 12101
    • Calvo, G.1    Izquierdo, A.2    Talvi, E.3
  • 14
    • 0029749973 scopus 로고    scopus 로고
    • Fiscal adjustment and official reserves in sovereign debt negotiations
    • Detragiache E. Fiscal adjustment and official reserves in sovereign debt negotiations. Economica 63 (1996) 81-95
    • (1996) Economica , vol.63 , pp. 81-95
    • Detragiache, E.1
  • 15
    • 0008060020 scopus 로고    scopus 로고
    • Can output losses following international financial crises be avoided?
    • Dooley M. Can output losses following international financial crises be avoided?. NBER Working Paper 7531 (2000)
    • (2000) NBER Working Paper 7531
    • Dooley, M.1
  • 17
    • 57849150951 scopus 로고    scopus 로고
    • Precautionary demand for foreign assets in foreign stop economies: an assessment of the new mercantilism
    • Durdu B., Mendoza E., and Terrones M. Precautionary demand for foreign assets in foreign stop economies: an assessment of the new mercantilism. NBER Working Paper13123 (2007)
    • (2007) NBER Working Paper13123
    • Durdu, B.1    Mendoza, E.2    Terrones, M.3
  • 18
    • 84959777265 scopus 로고
    • Debt with potential repudiation: theoretical and empirical analysis
    • Eaton J., and Gersovitz M. Debt with potential repudiation: theoretical and empirical analysis. The Review of Economic Studies 48 (1981) 289-309
    • (1981) The Review of Economic Studies , vol.48 , pp. 289-309
    • Eaton, J.1    Gersovitz, M.2
  • 20
    • 51349116210 scopus 로고
    • The demand for international reserves and exchange rate adjustments: the case of LDCs. 1964-1972
    • Edwards S. The demand for international reserves and exchange rate adjustments: the case of LDCs. 1964-1972. Economica 50 (1983) 269-280
    • (1983) Economica , vol.50 , pp. 269-280
    • Edwards, S.1
  • 21
    • 4444261104 scopus 로고    scopus 로고
    • Thirty years of current account imbalances, current account reversals and sudden stops
    • Edwards S. Thirty years of current account imbalances, current account reversals and sudden stops. IMF Staff Papers 51 (2004) 1-49
    • (2004) IMF Staff Papers , vol.51 , pp. 1-49
    • Edwards, S.1
  • 23
    • 1342309525 scopus 로고    scopus 로고
    • Holding international reserves in an era of high capital mobility
    • Collins S., and Rodrik D. (Eds), Brookings Institution Press, Washington, DC
    • Flood R., and Marion P. Holding international reserves in an era of high capital mobility. In: Collins S., and Rodrik D. (Eds). Brookings Trade Forum 2001 (2002), Brookings Institution Press, Washington, DC
    • (2002) Brookings Trade Forum 2001
    • Flood, R.1    Marion, P.2
  • 24
    • 29444447320 scopus 로고    scopus 로고
    • Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality
    • Frankel J., and Cavallo E.A. Does openness to trade make countries more vulnerable to sudden stops, or less? Using gravity to establish causality. NBER Working Paper 10957 (2004)
    • (2004) NBER Working Paper 10957
    • Frankel, J.1    Cavallo, E.A.2
  • 25
    • 77949410100 scopus 로고
    • Optimal international reserves: a stochastic framework
    • Frenkel J., and Jovanovic B. Optimal international reserves: a stochastic framework. Economic Journal 91 (1981) 507-514
    • (1981) Economic Journal , vol.91 , pp. 507-514
    • Frenkel, J.1    Jovanovic, B.2
  • 26
    • 57849107275 scopus 로고    scopus 로고
    • Sovereign borrowing by developing countries. What determines market access?
    • Gelos G.R., Sahay R., and Sandleris G. Sovereign borrowing by developing countries. What determines market access?. IMF Working Paper 04/221 (2003)
    • (2003) IMF Working Paper 04/221
    • Gelos, G.R.1    Sahay, R.2    Sandleris, G.3
  • 27
    • 0001601940 scopus 로고
    • Sovereign debt as a contingent claim: excusable default, repudiation, and reputation
    • Grossman H.I., and Van Huyck J.B. Sovereign debt as a contingent claim: excusable default, repudiation, and reputation. American Economic Review 78 (1988) 1088-1097
    • (1988) American Economic Review , vol.78 , pp. 1088-1097
    • Grossman, H.I.1    Van Huyck, J.B.2
  • 29
    • 34848836091 scopus 로고    scopus 로고
    • Jeanne, O., 2007. International Reserves in Emerging Market Countries: Too Much of a Good Thing. Brookings Papers on Economic Activity 28, 1-80.
    • Jeanne, O., 2007. International Reserves in Emerging Market Countries: Too Much of a Good Thing. Brookings Papers on Economic Activity 28, 1-80.
  • 30
    • 57849117003 scopus 로고    scopus 로고
    • Insurance value of international reserves: an option pricing approach
    • Lee J. Insurance value of international reserves: an option pricing approach. IMF Working Paper 04/175 (2004)
    • (2004) IMF Working Paper 04/175
    • Lee, J.1
  • 31
    • 57849128068 scopus 로고    scopus 로고
    • Endogenous sudden stops in a business cycle model with collateral constraints: a Fisherian deflation of Tobin's Q
    • Mendoza E. Endogenous sudden stops in a business cycle model with collateral constraints: a Fisherian deflation of Tobin's Q. NBER Working Paper 12564 (2006)
    • (2006) NBER Working Paper 12564
    • Mendoza, E.1
  • 32
    • 64549093999 scopus 로고    scopus 로고
    • A Solution to the Default Risk-Business Disconnect
    • Mendoza E., and Yue V. A Solution to the Default Risk-Business Disconnect. NBER Working Paper 13861 (2008)
    • (2008) NBER Working Paper 13861
    • Mendoza, E.1    Yue, V.2
  • 33
    • 33747488507 scopus 로고    scopus 로고
    • The social cost of foreign exchange reserves
    • Rodrik D. The social cost of foreign exchange reserves. NBER Working Paper 11952 (2006)
    • (2006) NBER Working Paper 11952
    • Rodrik, D.1
  • 35
    • 0002219955 scopus 로고    scopus 로고
    • Institutions for reducing global financial instability
    • Rogoff K. Institutions for reducing global financial instability. Journal of Economic Perspectives 13 (1999) 21-42
    • (1999) Journal of Economic Perspectives , vol.13 , pp. 21-42
    • Rogoff, K.1
  • 37
    • 38249044049 scopus 로고
    • Finite state Markov-chain approximations to univariate and vector autoregressions
    • Tauchen G. Finite state Markov-chain approximations to univariate and vector autoregressions. Economics Letters 20 (1986) 177-181
    • (1986) Economics Letters , vol.20 , pp. 177-181
    • Tauchen, G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.