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Title: Essays in sovereign debt and default
Author: Qiu, Ming
ISNI:       0000 0004 7660 8944
Awarding Body: UCL (University College London)
Current Institution: University College London (University of London)
Date of Award: 2019
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This thesis consists of three papers on sovereign debt and default. Chapter 1 studies public provision of liquidity in a model of public and private linkages that allows partial sovereign default. Entrepreneurs use their holdings of domestic bonds as liquidity stock to carry out investment and the bond default risk arises from the government's trade-off between private consumption and public expenditure. The model features a feedback loop between aggregate investment and debt sustainability. An adverse productivity shock reduces the government's tax base and hence its ability to repay. The initial decrease in bond price shrinks the economy's liquidity stock and leads to more projects being liquidated. Lower tax base, in turn, reduces bond price further. Chapter 2 analyses the impact of disaster risk on risk premium of debt issued by emerging economies. I distinguish between "natural" and "economic" disasters based on the output dynamics prior to disaster occurrence. My empirical estimation results show that a sample of thirteen emerging countries are subject to economic disasters and the probabilities of disaster occurrence in those economies are positively correlated with their interest spreads. This is consistent with the theoretical prediction of a model constructed to compare economies with natural and economic disaster risks. Chapter 3 relaxes an assumption made in previous works on optimal policy that the government has perfect knowledge of states in the economy and considers a model of optimal provision of liquidity when the government only has partial information. I present solutions to the full information and partial information cases.
Supervisor: Ravn, M. Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available