Publication:
An Econometric Analysis of IBRD Creditworthiness

Simple item page
dc.contributor.authorMcKenzie, David
dc.date.accessioned2013-08-06T14:36:58Z
dc.date.available2013-08-06T14:36:58Z
dc.date.issued2002-04
dc.description.abstractThe author econometrically ascertains the determinants of default to the International Bank for Reconstruction and Development (IBRD) through panel logit analysis. Creditworthiness with a lag of one period is determined by the extent of arrears to private creditors, the proportion of total debt service that is being paid, the government budget deficit, the extent of military involvement in the government of a country, and by the G7's current account balance. Default to the IBRD falls into a graduated hierarchy, whereby default occurs first to Paris Club and commercial bank creditors, with subsequent default triggered by portfolios with high proportions of IBRD and short-term debt, as well as the factors mentioned above. Default to these other creditor groups can be explained by more traditional country risk variables, although Mckenzie's analysis highlights the importance of political and external factors in explaining default to all creditors studied. He finds sovereign default to be a state-dependent process, whereby the repayment behavior of a country changes once it enters into default. Operationally, the author arrives at a model that can be used to assess short-term creditworthiness, although data imperfections and availability still limit the usefulness of the model for some countries. Longer-term risk assessment proves more difficult, which raises operational questions for the IBRD.en
dc.identifierhttp://documents.worldbank.org/curated/en/2002/04/1769431/econometric-analysis-ibrd-creditworthiness
dc.identifier.doi10.1596/1813-9450-2822
dc.identifier.urihttps://hdl.handle.net/10986/14810
dc.languageEnglish
dc.language.isoen_US
dc.publisherWorld Bank, Washington, D.C.
dc.relation.ispartofseriesPolicy Research Working Paper;No.2822
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectECONOMETRIC MODELS
dc.subjectCREDITWORTHINESS
dc.subjectDEBT SERVICE
dc.subjectBUDGET DEFICITS ACCOUNTING
dc.subjectBENEFIT ANALYSIS
dc.subjectBORROWING
dc.subjectCD
dc.subjectCOMMERCIAL BANKS
dc.subjectCOMMERCIAL CREDITORS
dc.subjectCOMMERCIAL DEBT
dc.subjectCONSOLIDATION
dc.subjectCONTAGION
dc.subjectCORRELATION ANALYSIS
dc.subjectCREDIT RATING
dc.subjectCREDIT RISK
dc.subjectCREDITOR
dc.subjectCREDITORS
dc.subjectDEBT
dc.subjectDEBT
dc.subjectDEBT AGREEMENTS
dc.subjectDEBT BURDEN
dc.subjectDEBT OUTSTANDING
dc.subjectDEBT RELIEF
dc.subjectDEBT REPAYMENT
dc.subjectDEBT RESCHEDULING
dc.subjectDEBT RESTRUCTURING
dc.subjectDEBT SERVICE
dc.subjectDEBT SERVICING
dc.subjectDEBT STOCKS
dc.subjectDEBTOR COUNTRIES
dc.subjectDEBTORS
dc.subjectDEFAULT RISK
dc.subjectDEFAULTS
dc.subjectDEFLATORS
dc.subjectECONOMETRIC ANALYSIS
dc.subjectECONOMETRIC MODELS
dc.subjectECONOMIC CONDITIONS
dc.subjectECONOMIC FACTORS
dc.subjectECONOMIC PROBLEMS
dc.subjectECONOMIC RISK
dc.subjectECONOMICS
dc.subjectEXCHANGE RATE
dc.subjectEXPORT GROWTH
dc.subjectEXPORTS
dc.subjectEXTERNAL DEBT
dc.subjectFINANCIAL INSTITUTIONS
dc.subjectFINANCIAL RATIOS
dc.subjectFINANCIAL RESOURCES
dc.subjectGDP
dc.subjectGNP
dc.subjectGNP PER CAPITA
dc.subjectGROSS NATIONAL SAVINGS
dc.subjectGROWTH RATE
dc.subjectILLIQUIDITY
dc.subjectIMPORTS
dc.subjectINFLATION
dc.subjectINFLATION RATE
dc.subjectINSOLVENCY
dc.subjectINTEREST RATES
dc.subjectLIQUIDITY
dc.subjectLOAN FINANCE
dc.subjectMATURITIES
dc.subjectMULTILATERAL DEBT
dc.subjectNONACCRUAL LOANS
dc.subjectOIL
dc.subjectOPPORTUNITY COST
dc.subjectPER CAPITA INCOME
dc.subjectPOPULATION GROWTH
dc.subjectPORTFOLIOS
dc.subjectPRIVATE DEBT
dc.subjectPROBABILITY OF DEFAULT
dc.subjectPRODUCTIVITY
dc.subjectREAL INTEREST RATE
dc.subjectRECYCLING
dc.subjectREPAYMENT
dc.subjectRESCHEDULING
dc.subjectRISK FACTORS
dc.subjectRISK PREMIUMS
dc.subjectSOVEREIGN DEBT
dc.subjectTERMS OF TRADE
dc.subjectWEALTH
dc.titleAn Econometric Analysis of IBRD Creditworthinessen
dspace.entity.typePublication
okr.crossref.titleAn Econometric Analysis of the Creditworthiness of IBRD Borrowers
okr.date.doiregistration2025-04-10T10:03:30.169705Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.doctypePublications & Research
okr.docurlhttp://documents.worldbank.org/curated/en/2002/04/1769431/econometric-analysis-ibrd-creditworthiness
okr.globalpracticeFinance and Markets
okr.guid118481468739143520
okr.identifier.doi10.1596/1813-9450-2822
okr.identifier.externaldocumentum000094946_0205010411313
okr.identifier.internaldocumentum1769431
okr.identifier.reportWPS2822
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2002/05/14/000094946_0205010411313/Rendered/PDF/multi0page.pdfen
okr.sectorOther Finance
okr.sectorFinance
okr.topicEconomic Theory and Research
okr.topicFinance and Financial Sector Development::Financial Intermediation
okr.topicBanks and Banking Reform
okr.topicEnvironmental Economics and Policies
okr.topicFinance and Financial Sector Development::Strategic Debt Management
okr.topicPayment Systems and Infrastructure
okr.unitOff of Sr VP Dev Econ/Chief Econ (DECVP)
okr.volume1
relation.isAuthorOfPublication148d6d6d-76e5-5d6f-9af9-98313e30551f
relation.isAuthorOfPublication.latestForDiscovery148d6d6d-76e5-5d6f-9af9-98313e30551f
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
Files
Original bundle
Now showing 1 - 2 of 2
Thumbnail Image
Name:
multi0page.pdf
Size:
2.51 MB
Format:
Adobe Portable Document Format
Download
No Thumbnail Available
Name:
multi0page.txt
Size:
106.66 KB
Format:
Plain Text
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description:
Download
Collections
Policy Research Working Papers