Country Default Risk and the Determinants of Sovereign Debt Discounts

摘要: In this paper, we develop a model for measuring the cost of country default risk that incorporates possibility series losses associated with periodic de­ faults and reschedulings as well definitive, loan-ending repudiation. Using data from 1986-1994 21 countries, test an explanatory vari­ able secondary market sovereign debt discount alone combined other major determinants discounts suggested in litera­ ture. We find quantified variable is significant robust. The overall explains over 93% variations discount.