Analyzing Country Risk: Estimating the Probability of External Debt Repudiation in the Post-Oil-Embargo Decade

<p>This dissertation examines the use of logit analysis as a tool for assessing the likelihood that a sovereign risk cannot, or will not, adhere to the terms of its foreign debt obligations as a result of adverse political, social, economic, or financial disruptions. The discussion is divided into two parts. Part one is devoted to a review of the topic of assessing the likelihood of debt servicing difficulties by borrower nations by first tracing the growth of international bank lending activities by U.S. commercial banks, followed by a general discussion of the international debt crisis and a brief survey of some of the conventional approaches employed by many international institutions to assess overseas lending risk. Part one continues with a survey of a variety of social, economic, and political considerations incorporated into the risk evaluation process and concludes with a discussion of how these factors are integrated into the microeconomics of international bank lending.</p> <p>Part two of this study discusses specifically the use of logit analysis as a tool for evaluating country risk under alternative sub-set data specifications. It begins with a review of the major empirical studies on the use of econometric techniques for predicting the incidence of foreign debt repudiations followed by an investigation of the rescheduling process subsequent to the first oil price "shock" in 1973-74. The analysis attempts to improve and expand upon the work of others by specifically addressing a variety of empirical and theoretical deficiencies present in earlier studies. The paper concludes with a discussion of the possible presence of dynamic elements in the rescheduling process which may ultimately help to improve upon the predictive performance of the logit model.</p>

Name thesis:degree_name

Doctor of Philosophy

Level thesis:degree_level

Doctoral

Discipline thesis:degree_discipline

Economics

Grantor

The Graduate School and University Center of The City University of New York

Year dc:date.available

1985

Author dc:creator

• Webster, Thomas Joseph

Advisor dc:contributor.advisor

• Michael Edelstein

Committee members dc:contributor.committeemember

• Michael Grossman
• Salih Neftci

• Economics

Repository record dc:identifier

https://academicworks.cuny.edu/gc_etds/1756

OAI identifier oai:identifier

oai:academicworks.cuny.edu:gc_etds-2784