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An inquiry into the effects of infor...

Lee, Seung Jung.

An inquiry into the effects of information quality of macro aggregates on sovereign risk.

Record Type:	Electronic resources : Monograph/item
Title/Author:	An inquiry into the effects of information quality of macro aggregates on sovereign risk.
Author:	Lee, Seung Jung.
Description:	95 p.
Notes:	Adviser: Casey Mulligan.
Notes:	Source: Dissertation Abstracts International, Volume: 67-05, Section: A, page: 1835.
Contained By:	Dissertation Abstracts International67-05A.
Subject:	Economics, General.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3219546
ISBN:	9780542710896

An inquiry into the effects of information quality of macro aggregates on sovereign risk.
Lee, Seung Jung.

An inquiry into the effects of information quality of macro aggregates on sovereign risk. - 95 p.

Adviser: Casey Mulligan.

Thesis (Ph.D.)--The University of Chicago, 2006.

This dissertation explores the link between information quality of macro aggregates and sovereign risk. I first establish that data quality increases the repayment ratio after default but has a positive, yet insignificant, effect on the default probability. My estimation accounts for selection bias by using a cross-country panel data of 69 developing countries for 1989-2002. Results are robust to controlling for various governance factors and income levels. I then set forth two hypotheses to explain my empirical facts---one that asserts that good information quality is related to better bargaining power for creditors in debt renegotiations, and another that argues that bad data quality is associated with search costs or 'reputational' costs. I construct a model to find empirical implications for the two hypotheses. Two results allow me to accept the bargaining-power hypothesis and reject the search-cost hypothesis---empirical evidence of substantial credit rationing and comparative statics results from a calibrated economy. I conclude that good information of macro aggregates reduces sovereign risk by enhancing the bargaining power for creditors after a country defaults. The increase in the repayment ratio is what drives the reduction in sovereign risk.

ISBN: 9780542710896Subjects--Topical Terms:

212429
Economics, General.

An inquiry into the effects of information quality of macro aggregates on sovereign risk.
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245 1 3 $a An inquiry into the effects of information quality of macro aggregates on sovereign risk.
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502 $a Thesis (Ph.D.)--The University of Chicago, 2006.
520 # $a This dissertation explores the link between information quality of macro aggregates and sovereign risk. I first establish that data quality increases the repayment ratio after default but has a positive, yet insignificant, effect on the default probability. My estimation accounts for selection bias by using a cross-country panel data of 69 developing countries for 1989-2002. Results are robust to controlling for various governance factors and income levels. I then set forth two hypotheses to explain my empirical facts---one that asserts that good information quality is related to better bargaining power for creditors in debt renegotiations, and another that argues that bad data quality is associated with search costs or 'reputational' costs. I construct a model to find empirical implications for the two hypotheses. Two results allow me to accept the bargaining-power hypothesis and reject the search-cost hypothesis---empirical evidence of substantial credit rationing and comparative statics results from a calibrated economy. I conclude that good information of macro aggregates reduces sovereign risk by enhancing the bargaining power for creditors after a country defaults. The increase in the repayment ratio is what drives the reduction in sovereign risk.
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