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Sovereign Bond Prices, Haircuts and Maturity / Tamon Asonuma, Dirk Niepelt, Romain Rancière.
- Format:
- Book
- Author/Creator:
- Asonuma, Tamon.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23864.
- NBER working paper series no. w23864
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- 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.
- Notes:
- Print version record
- September 2017.
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