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Sovereign Bond Prices, Haircuts and Maturity
Mr.Tamon AsonumaDirk NiepeltMr.Romain Ranciere
出版International Monetary Fund, 2017-05-22
主題Business & Economics / Economics / MacroeconomicsBusiness & Economics / Investments & Securities / BondsBusiness & Economics / Investments & Securities / General
ISBN14843011029781484301104
URLhttp://books.google.com.hk/books?id=yLdADwAAQBAJ&hl=&source=gbs_api
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註釋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.