双边主权债务的风险（英）

The Perils of Bilateral Francisco Roldán and César Sosa-Padilla WP/25/235 IMF Working Papersdescribe research inprogress by the author(s) and are published toelicit comments and to encourage debate.The views expressed in IMF Working Papers are ResearchDepartment Authorized for distribution by Emine Boz IMF Working Papersdescribe research in progress by the author(s) and are published to elicitcomments and to encourage debate.The views expressed in IMF Working Papers are those of the ABSTRACT:We study the interaction between private and official sovereign debts. We develop a quantitativesovereign default model featuring a senior creditor with whom borrowing terms are negotiated. We use thismodel to evaluate implications of the emergence of new official lenders not bound by the Paris Club framework.The dynamics of bilateral bargaining lead the government to issue more market debt, raising default risk and CONTENTS 1Introduction 4 2Motivating Evidence 8 3Model with bilateral loans only93.1Equilibrium with bilateral loans only. . . . . . . . . . . . . . . . . . . . . . . . .10 5Quantitative results15 5.1Default probabilities and debt prices . . . . . . . . . . . . . . . . . . . . . . . . . .185.2Dynamics with bilateral loans. . . . . . . . . . . . . . . . . . . . . . . . . . . . .20 6Programming the large lender 7Concluding remarks INTRODUCTION A large fraction of sovereign borrowing in emerging-market economies takes the form of offi-cial debt, including loans from other governments, regional development banks, or multilateral institutions such as the IMF and the World Bank. The past few decades have witnessed the rise of new sovereign creditors operating outside of the Paris Club institutional framework (Hornet al., 2021b; Gelpern et al., 2021). The claims to de facto senior creditor status (relative to private This paper evaluates such concerns in the context of a quantitative sovereign debt and de-fault model, augmented by the presence of a large lender who offers an alternative source offunds. Relative to creditors in international capital markets, the large lender possesses a superior We focus on the interaction between private markets and the large lender as two possiblefinancing sources.1While the availability of bilateral loans from the large lender affects thegovernment’s behavior in debt markets, outcomes in debt markets also influence threat points inthe bilateral negotiation. The interest rate charged by the large lender is therefore constrained by The baseline model yields two main results: the presence of the senior lender leads to a formof overborrowing in debt markets, and this creates welfare losses for the government. While bilat-eral loans can and are often used on the equilibrium path to avoid costly defaults, the borrowingcountry is worse off when the large lender is present. One reason for this is that the possibility ofborrowing from the large lender while excluded from markets raises the value of default, whichincreases default incentives and lowers (marketable) debt prices. But there is another, more fun- paying high spreads on its market debt, which is precisely when the large lender is most needed.Consequently, when the large lender expects the government to face high spreads in the future,it values the relationship more and is willing to invest in it by lending more cheaply. This en-dogenous elasticity of bilateral loan terms to indebtedness in markets acts as a countervailing The dynamics and welfare effects we describe result from three critical assumptions regard-ing the large creditor and the funding it offers. Compared to competitive markets, we assumethat it is more difficult (or impossible) to default on the large creditor, that its loans are of shorter maturity, and that the terms of borrowing result from bilateral bargaining rather than competi-tion and a zero-profit condition. Central Bank swap lines constitute a prime real-world example,which Horn et al. (2021b) identify as a dominant channel through which official bilateral lending Other forms of official debt share the seniority and/or duration features emphasized in ourbaseline model—including for example some types of IMF programs and repo or swap facilitiesoffered by central banks such as the Fed or the ECB. However, unlike the bilateral bargaining framework we assume, these facilities typically feature borrowing terms that are fixed in advance.For instance, IMF lending is subject to surcharges based on access and duration thresholds (IMF,2024b), while the Fed’s swap lines carry a standard 25 basis point spread over policy rates (Bahaj The extension shows in a much simpler setup that when the interest rate on bilateral loansis relatively insensitive to the government’s market debt—that is, when the interest rate is fixedor has a low elasticity to market debt—the relational overborrowing channel is muted or disap- avoid costly defaults on its marketable debt. As a result, the equilibrium