발전기금
[경제학과] 11월 7일 BK 목요세미나 안내
- 진하은
- 2024-11-04
이번 주 11월 7일 목요일에 진행되는 BK 목요세미나 안내 드립니다.
- 일시: 2024년 11월 7일 (목) 16:30 - 17:45
- 장소: 경영관 33504호
- 발표자: 양주영 연구위원님 (KDI)
- 주제: Credit Ratings in Sovereign Bond Markets
- Abstract: How does credit market segmentation affect the default risk of developing countries? This paper explores the impact of market segmentation resulting from sovereign credit ratings on default risk and emphasizes its disciplinary role in shaping borrowing behavior. Empirical analysis suggests that downgrades from investment-grade to junk ratings are associated with a 30-basis-point spread increase. To account for this, I develop a quantitative sovereign default model incorporating credit ratings and a segmented market structure derived from ratings. I calibrate the segmentation parameter to match the observed spread movements during downgrades and find that the higher spread implies a 200-basis-point higher discount rate on junk bonds than comparable non-junk bonds. In the model, when a country accumulates debt beyond a threshold, it triggers downgrades, resulting in sovereign bonds being priced by more impatient lenders, leading to higher interest rates. Consequently, the government borrows less, reducing default risk and raising the overall bond price schedule. While the segmentation makes the country worse off in the steady-state debt level, it can benefit the government in low-debt states by mitigating overborrowing friction associated with long-maturity structures, resulting in welfare gains. An analysis of an optimal rating rule suggests that a looser rating rule diminishes these welfare gains.