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Pricing sovereign debt in resource rich economies

Abstract:

This paper investigates the link between commodity price movements and risk premiums in resource-dependent,developing economies. I develop a stochastic general equilibrium model of a small open economy that receives a stream of resourc erevenues.The government sells bonds to foreign investors which it can renege on in the future, at some cost, whilst international investors form expectations on the likelihood of sovereign default. This delivers an endogenous risk premium which is inversely re...

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Publication status:
Published

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Publisher:
University of Oxford
Series:
OxCarre Papers
Publication date:
2017-09-05
Paper number:
194
Keywords:
Pubs id:
1143551
Local pid:
pubs:1143551
Deposit date:
2020-12-14

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