Electronic Resource
Berkeley, Calif.
:
Berkeley Electronic Press (now: De Gruyter)
Topics in macroeconomics
6.2006, 1, art5
ISSN:
1534-5998
Source:
Berkeley Electronic Press Academic Journals
Topics:
Economics
Notes:
Although a lot has been written on the link between debt maturity and financial crises, it remains puzzling why the private sector in emerging market economies holds such a large share of short-term debt in the presence of substantial macroeconomic risk. To understand this phenomenon, we propose a simple model in which debt maturity depends on economic uncertainty about investment returns. We show in particular that if lenders are risk averse, higher uncertainty can (i) lower the total debt level a country is able to borrow and (ii) tilt the debt profile towards short-term debt. We take these model implications to the data using a panel of 28 emerging market economies and various indicators for macroeconomic uncertainty. We find substantial empirical support for the model's predictions.
Type of Medium:
Electronic Resource
URL:
http://www.bepress.com/bejm/topics/vol6/iss1/art5
|
Location |
Call Number |
Expected |
Availability |
