Sovereign bond prices, haircuts and maturity
| Autor: | Dirk Niepelt, Romain Ranciere, Tamon Asonuma |
|---|---|
| Rok vydání: | 2023 |
| Předmět: |
Stylized fact
Economics and Econometrics Restructuring media_common.quotation_subject Bond 05 social sciences Monetary economics Maturity (finance) Debt restructuring Bond valuation Debt 0502 economics and business Economics General Earth and Planetary Sciences Default 050207 economics Finance 050205 econometrics General Environmental Science media_common |
| Zdroj: | Journal of International Economics. 140:103689 |
| ISSN: | 0022-1996 |
| DOI: | 10.1016/j.jinteco.2022.103689 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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