tag:blogger.com,1999:blog-45069726472303023982011-09-14T14:40:09.702+09:00Yaotonhttp://www.blogger.com/profile/02561922318098347864noreply@blogger.comBlogger31100tag:blogger.com,1999:blog-4506972647230302398.post-9054082616961124382011-09-14T14:40:00.000+09:002011-09-14T14:40:08.517+09:00<div><ul><li>Sovereign Lending</li></ul></div>The main determinant of default is willingness to pay rather than ability to pay<div><br /></div><div><ul><li>Illiquidity versus Insolvency</li></ul></div><div>-Another important concept</div><div>Illiquidity: a short-term funding problem&nbsp;</div><div>Insolvency: not willing and/or able to service its debt indefinitely</div><div><br /></div><div>short-term borrowing often carries a significantly lower interest rate than loger-term borrwing</div><div><br /></div><div>Default and no-default situations are (Nash-)equilibrium together</div><div>(suppose the money a country borrows is provided by a large group of lenders)</div><div>- the difference of these two can sometimes very small.</div><div><br /></div><div><ul><li>Partial default and rescheduling</li></ul><div>In practice, most defaults end up being partial, not complete, albeit sometimes after long negotiations and much acrimony.</div></div><div>In most cases, partial repayment is significant and not a token (to re-enter the debt market.)</div><div>A bargaining perspective helps explain why we include rescheduling in our definition of sovereign defaults.</div><div>The fact that countries sometimes default on their debt does not provide prima facie evidence that investors were irrational -- they receive risk premiums sometimes exceeding 5 or 10 perce.t per annum.</div><div><br /></div><div>prima facie: apparently</div><div><br /></div><div><ul><li>Odious debt</li></ul><div><br /></div></div><div><ul><li>Domestic public debt</li></ul><div>Domestic debt is debt a country owes to itself.</div></div><div>Robert Barros's Ricardian model of debt says that domestic public debt does not matter at all.(?)</div><div>However, Barro's analysis presumes that debt will be always honoured.</div><div>outright defaults on domestic public debt occur far more often than one might imagine but not so often as external debt.</div><div><br /></div><div><br /></div><div class="blogger-post-footer"><img width='1' height='1' src='https://blogger.googleusercontent.com/tracker/4506972647230302398-905408261696112438?l=yaoton.blogspot.com' alt='' /></div>Yaotonhttp://www.blogger.com/profile/02561922318098347864noreply@blogger.com0tag:blogger.com,1999:blog-4506972647230302398.post-4729278124514074352011-07-06T18:38:00.000+09:002011-07-06T18:38:50.568+09:00Stataで時系列データを分析する際は，<br /><br /><br />tsset year<br /><br /><br />というように，時間（年，月，四半期etc)を表す変数を指定する必要がある。<br />この変数が単なる数字であればよいが，文字列で表記されている場合には一工夫いるようだ。<br />（どう”一工夫”しなければならないのか，毎回忘れるという憂き目にあっている汗）<br /><br />手元のデータには<br /><br />qrt = [1997q1, 1997q2, 1997q3, 1997q4, 1998q1,...]<br /><br />という変数が準備されている。これを認識させたい。<br /><br />答えは，まずquarterlyという関数を用いて<br /><br />gen time = quarterly(qrt, "Yq")<br /><br />とすれば，変数timeには<br /><br />time = [148, 149, 150, 151, 152,...]<br /><br />という数字が格納される。<br />なお，quarterly()は，1960q1を0として四半期に連番を与える関数である。<br /><br />あとはtimeを，時間を表す変数として認識させればよいが，四半期データとして認識させるには<br /><br />tsset time, quarterly<br /><br />と，quarterlyというオプションを振る必要がある。<br />すると<br /><br />time variable: &nbsp;time, 1997q4 to 2011q1<br />&nbsp; &nbsp; &nbsp; &nbsp; &nbsp; &nbsp;delta: 1 quarter<br /><br />と出力されて，セットされた時間のスパンとその間隔を確認することが出来る。<br />参考：<br /><a href="http://www.econ.kobe-u.ac.jp/~nomura/lecture/11f/stata.pdf">http://www.econ.kobe-u.ac.jp/~nomura/lecture/11f/stata.pdf</a>&nbsp;のp37<div class="blogger-post-footer"><img width='1' height='1' src='https://blogger.googleusercontent.com/tracker/4506972647230302398-472927812451407435?l=yaoton.blogspot.com' alt='' /></div>Yaotonhttp://www.blogger.com/profile/02561922318098347864noreply@blogger.com1tag:blogger.com,1999:blog-4506972647230302398.post-19198767674339438762010-12-12T16:24:00.001+09:002010-12-12T16:24:34.991+09:00test<div class="blogger-post-footer"><img width='1' height='1' src='https://blogger.googleusercontent.com/tracker/4506972647230302398-1919876767433943876?l=yaoton.blogspot.com' alt='' /></div>Yaotonhttp://www.blogger.com/profile/02561922318098347864noreply@blogger.com0