This paper assesses the Institutional Investor Country Risk Rating (IICR) to analyze whether secondary market prices are reliable indicators of debt values. It starts with the conviction that the rating scores are reasonable measure of banker’s perceptions of the country’s creditworthiness. Regression results indicate illiquidity of the secondary market.risk

Palac-McMiken, Evanor D.

English

Research Papers in Economics

Aal Empirical Investigation of Leaders' Perception of Country Creditworthiness.&quot;

Accou'nti'n.gJor Losses o.n.Sove'mign.Debt: Implications.[or New Lending&quot;

An Early Warning Model for Assesing Developing Country Risk.&quot;

Are Sovereign Debt Secondary Market Returns Sensitive to Macroeconomic Fundamentals?: Evidence from the Coutemporary and interwar Markets.&quot;

Barrels_ &quot;Comprelaensive Approaches for Solving the Debt Crisis_&quot;

Country Risk Analysis. Sychaey: Butterwortbs,

Country Risk Portfolio Decisious and Regtflations

Counu&quot;y Risk: A Model of Economic Performance Related to Debt-Servicing Capacity.&quot; Working Paper

Creditwo'rt, hi'n,ess and Ma'rket Prices.

Early Warning of Debt Reschcduling.&quot;

Econometric Analysis.

Economic Indicators and Country RiskAppraisal.&quot;Ec0n0micReview of the Federal Reserve Ba*d¢ oJ San Francisco

Further Results on Countries' Debt Servicing Performance: The Relevance of Structural Factors.&quot;

InternationaI Debt:Systematic Risk and Poliu Response.Washington,

International Debt: An Explanation of the Commercial Banks'

is the Discount on the Secondary Market a Case for Debt Relief?.&quot; Mimeographed. Paris and CEPR, London: Universite de Nancy - II CEPREMAP,

Is There Lilie Alter Debt? Aa_ Economic Analysis of the Creditworthiness of l)evelopil_g Countries.&quot;

LDC Participation in International Financial Markets.&quot;

Lent and .Lost: Foreig'n Credit and 7&quot;hi'rd World Development. London Adantic

Linear Regression After Selection.&quot;[o'urnal o[Ecorl.omet, rics 15

Loan-LossProvisions and Third WorldDebt.Princeton,

Measurement of&quot;Debt Servicing Capacity: An Application of Discriminall tAalalysis.

On the Asymptotic Bias ol the Ordinary Least Squares Estimator ofthe Tobit Model.&quot; Eco'n.ometrica49

S.&quot;The Pricing of Bonds and Bank Loans in International Markets: An Empirical Analysis of Developing Countries' Foreign Borrowing.&quot;

Sachs_ &quot;The Debt Crisis: Structural Explanations of Country Performance.&quot; Working Paper No.

Sovereign Debt: Is To Forgive to Forget?&quot;

Sovereign Deh_ as a Contingent Claim: Excusable Default, Repudiation and Reputation.&quot; Working Paper No_ 85-17.

Survey of the Quantitative Approaches to Country Risk Analysis.&quot;Jour'nal q/Banking and

The Long-Run Credit'worthiness of Developing Countries: Theory and Practice.&quot; The Quart¢rlyJou,rnal o[Economic_

The Secondary Mm'ket l:brDeveloping Country Loans.&quot; Finance a'r_d Dcwelopment

The World Bank,

Predicting Discounts of Secondary Market Sovereign Debts

http://dirp4.pids.gov.ph/ris/pjd/pidsjpd95-1debts.pdf

Predicting Discounts of Secondary Market Sovereign Debts

Abstract

Similar works

Full text

Available Versions

Research Papers in Economics