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...
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| Format: | Policy Research Working Paper |
| Language: | English en_US |
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World Bank, Washington, D.C.
2013
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| Online Access: | http://documents.worldbank.org/curated/en/2002/04/1769431/econometric-analysis-ibrd-creditworthiness http://hdl.handle.net/10986/14810 |
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okr-10986-148102021-04-23T14:03:20Z An Econometric Analysis of IBRD Creditworthiness McKenzie, David 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 DEBT AGREEMENTS DEBT BURDEN DEBT OUTSTANDING DEBT RELIEF DEBT REPAYMENT DEBT RESCHEDULING DEBT RESTRUCTURING DEBT SERVICE DEBT SERVICING DEBT STOCKS DEBTOR COUNTRIES DEBTORS DEFAULT RISK DEFAULTS DEFLATORS ECONOMETRIC ANALYSIS ECONOMETRIC MODELS 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 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. 2013-08-06T14:36:58Z 2013-08-06T14:36:58Z 2002-04 http://documents.worldbank.org/curated/en/2002/04/1769431/econometric-analysis-ibrd-creditworthiness http://hdl.handle.net/10986/14810 English en_US Policy Research Working Paper;No.2822 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, D.C. Publications & Research :: Policy Research Working Paper Publications & Research |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English en_US |
| topic |
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 DEBT AGREEMENTS DEBT BURDEN DEBT OUTSTANDING DEBT RELIEF DEBT REPAYMENT DEBT RESCHEDULING DEBT RESTRUCTURING DEBT SERVICE DEBT SERVICING DEBT STOCKS DEBTOR COUNTRIES DEBTORS DEFAULT RISK DEFAULTS DEFLATORS ECONOMETRIC ANALYSIS ECONOMETRIC MODELS 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 |
| spellingShingle |
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 DEBT AGREEMENTS DEBT BURDEN DEBT OUTSTANDING DEBT RELIEF DEBT REPAYMENT DEBT RESCHEDULING DEBT RESTRUCTURING DEBT SERVICE DEBT SERVICING DEBT STOCKS DEBTOR COUNTRIES DEBTORS DEFAULT RISK DEFAULTS DEFLATORS ECONOMETRIC ANALYSIS ECONOMETRIC MODELS 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 McKenzie, David An Econometric Analysis of IBRD Creditworthiness |
| relation |
Policy Research Working Paper;No.2822 |
| description |
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. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
McKenzie, David |
| author_facet |
McKenzie, David |
| author_sort |
McKenzie, David |
| title |
An Econometric Analysis of IBRD Creditworthiness |
| title_short |
An Econometric Analysis of IBRD Creditworthiness |
| title_full |
An Econometric Analysis of IBRD Creditworthiness |
| title_fullStr |
An Econometric Analysis of IBRD Creditworthiness |
| title_full_unstemmed |
An Econometric Analysis of IBRD Creditworthiness |
| title_sort |
econometric analysis of ibrd creditworthiness |
| publisher |
World Bank, Washington, D.C. |
| publishDate |
2013 |
| url |
http://documents.worldbank.org/curated/en/2002/04/1769431/econometric-analysis-ibrd-creditworthiness http://hdl.handle.net/10986/14810 |
| _version_ |
1764429848547164160 |