An Econometric Analysis of IBRD Creditworthiness
The author econometrically ascertains
the determinants of default to the International Bank for
Reconstruction and Development (IBRD) through panel logit
analysis. Creditworthiness with a lag of one period is
determined by the extent of arrears to private creditors,
the proportion of total debt service that is being paid, the
government budget deficit, the extent of military
involvement in the government of a country, and by the
G7's current account balance. Default to the IBRD falls
into a graduated hierarchy, whereby default occurs first to
Paris Club and commercial bank creditors, with subsequent
default triggered by portfolios with high proportions of
IBRD and short-term debt, as well as the factors mentioned
above. Default to these other creditor groups can be
explained by more traditional country risk variables,
although Mckenzie's analysis highlights the importance
of political and external factors in explaining default to
all creditors studied. He finds sovereign default to be a
state-dependent process, whereby the repayment behavior of a
country changes once it enters into default. Operationally,
the author arrives at a model that can be used to assess
short-term creditworthiness, although data imperfections and
availability still limit the usefulness of the model for
some countries. Longer-term risk assessment proves more
difficult, which raises operational questions for the IBRD.
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Bibliographic Details
| Main Author: |
McKenzie, David |
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| Language: | English
en_US |
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| Published: |
World Bank, Washington, D.C.
2002-04
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| Subjects: | ECONOMETRIC MODELS,
CREDITWORTHINESS,
DEBT SERVICE,
BUDGET DEFICITS ACCOUNTING,
BENEFIT ANALYSIS,
BORROWING,
CD,
COMMERCIAL BANKS,
COMMERCIAL CREDITORS,
COMMERCIAL DEBT,
CONSOLIDATION,
CONTAGION,
CORRELATION ANALYSIS,
CREDIT RATING,
CREDIT RISK,
CREDITOR,
CREDITORS,
DEBT,
DEBT AGREEMENTS,
DEBT BURDEN,
DEBT OUTSTANDING,
DEBT RELIEF,
DEBT REPAYMENT,
DEBT RESCHEDULING,
DEBT RESTRUCTURING,
DEBT SERVICING,
DEBT STOCKS,
DEBTOR COUNTRIES,
DEBTORS,
DEFAULT RISK,
DEFAULTS,
DEFLATORS,
ECONOMETRIC ANALYSIS,
ECONOMIC CONDITIONS,
ECONOMIC FACTORS,
ECONOMIC PROBLEMS,
ECONOMIC RISK,
ECONOMICS,
EXCHANGE RATE,
EXPORT GROWTH,
EXPORTS,
EXTERNAL DEBT,
FINANCIAL INSTITUTIONS,
FINANCIAL RATIOS,
FINANCIAL RESOURCES,
GDP,
GNP,
GNP PER CAPITA,
GROSS NATIONAL SAVINGS,
GROWTH RATE,
ILLIQUIDITY,
IMPORTS,
INFLATION,
INFLATION RATE,
INSOLVENCY,
INTEREST RATES,
LIQUIDITY,
LOAN FINANCE,
MATURITIES,
MULTILATERAL DEBT,
NONACCRUAL LOANS,
OIL,
OPPORTUNITY COST,
PER CAPITA INCOME,
POPULATION GROWTH,
PORTFOLIOS,
PRIVATE DEBT,
PROBABILITY OF DEFAULT,
PRODUCTIVITY,
REAL INTEREST RATE,
RECYCLING,
REPAYMENT,
RESCHEDULING,
RISK FACTORS,
RISK PREMIUMS,
SOVEREIGN DEBT,
TERMS OF TRADE,
WEALTH, |
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| Online Access: | http://documents.worldbank.org/curated/en/2002/04/1769431/econometric-analysis-ibrd-creditworthiness
https://hdl.handle.net/10986/14810
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