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Lending to Sovereign Borrowers: Snapshots of the Eurocurrency Market Using a Thomian Camera

Опубликовано на портале: 01-07-2004
International Economic Review. 1990.  Vol. 31. No. 2. P. 469-489. 
Тематический раздел:
Blending empirical and theoretical analyses, the terms (spreads) granted by the Eurocurrency market to borrowers of several countries prior to the world debt crisis are examined. Specifically, a section examines the spreads over the London interbank offer rate charged to public and private entities of 6 countries. The samples are cross-sectional observations taken over a short time period, usually a year. Although the histograms of the spreads are found to exhibit a variety of shapes, a single distribution, Fisher's (1922) quartic exponential, is shown to fit all the samples rather well. A model of lending, whose implied distribution of the spreads is precisely the quartic exponential, is then offered. The model, which makes use of Catastrophe theory, also illustrates how optimizing behavior can lead to surfaces of optimal responses that exhibit elementary catastrophes.