Sovereign Bond Prices, Haircuts and Maturity /:

Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("haircuts") during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive dataset on instrument-specific haircuts for 28 debt restructurings with priv...

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Hauptverfasser: Asonuma, Tamon (VerfasserIn), Niepelt, Dirk (VerfasserIn), Ranciere, Romain (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C. : International Monetary Fund, 2017.
Schriftenreihe:IMF working paper ; WP/17/119.
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Zusammenfassung:Rejecting a common assumption in the sovereign debt literature, we document that creditor losses ("haircuts") during sovereign restructuring episodes are asymmetric across debt instruments. We code a comprehensive dataset on instrument-specific haircuts for 28 debt restructurings with private creditors in 1999-2015 and find that haircuts on shorter-term debt are larger than those on debt of longer maturity. In a standard asset pricing model, we show that increasing short-run default risk in the run-up to a restructuring episode can explain the stylized fact. The data confirms the predicted relation between perceived default risk, bond prices, and haircuts by maturity
Beschreibung:1 online resource (38 pages)
ISBN:9781484301227
1484301226
1484301099
9781484301098
ISSN:1018-5941 ;