An Econometric Analysis of IBRD Creditworthiness

McKenzie, David

World Bank, Washington, D.C.

关键词: ECONOMETRIC MODELS;    CREDITWORTHINESS;    DEBT SERVICE;    BUDGET DEFICITS ACCOUNTING;    BENEFIT ANALYSIS;   

DOI  :  10.1596/1813-9450-2822
RP-ID  :  WPS2822

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The author econometrically ascertainsthe determinants of default to the International Bank forReconstruction and Development (IBRD) through panel logitanalysis. Creditworthiness with a lag of one period isdetermined by the extent of arrears to private creditors,the proportion of total debt service that is being paid, thegovernment budget deficit, the extent of militaryinvolvement in the government of a country, and by theG7's current account balance. Default to the IBRD fallsinto a graduated hierarchy, whereby default occurs first toParis Club and commercial bank creditors, with subsequentdefault triggered by portfolios with high proportions ofIBRD and short-term debt, as well as the factors mentionedabove. Default to these other creditor groups can beexplained by more traditional country risk variables,although Mckenzie's analysis highlights the importanceof political and external factors in explaining default toall creditors studied. He finds sovereign default to be astate-dependent process, whereby the repayment behavior of acountry changes once it enters into default. Operationally,the author arrives at a model that can be used to assessshort-term creditworthiness, although data imperfections andavailability still limit the usefulness of the model forsome countries. Longer-term risk assessment proves moredifficult, which raises operational questions for the IBRD.