Description |
1 online resource (38 pages). |
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data file |
Series |
IMF working paper ; WP/17/119
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IMF working paper ; WP/17/119.
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Contents |
Cover; Contents; I. Introduction; II. Haircuts; A. Haircut Measures; B. Data; III. New Stylized Facts; A. Haircuts; B. Bond Prices; IV. The Model; A. Setup; B. First Result; C. Second Result; D. Interpretation; V. Default Probability Term Structure; VI. Conclusion; References; Figures; 1. SZ Recovery and Maturity; 2. Exchange Recovery and Maturity; 3. Bond Price Differentials; 4. Default Probability Term Structure; Tables; 1. Scope of Dataset; 2. Cross-sectional Regression Results; 3. Panel Regression Results; 4. Panel Regression Results; Appendices; I. Dataset: Selected Recent Restructurings. |
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II. Haircuts / Recovery RatesIII. SZ Haircuts Robustness Check; IV. Bond Prices; V. Estimation of Term Structure of Default Risk; VI. Default Probability Term Structure. |
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. |
Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
Subject |
Debt relief -- Econometric models.
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Debt relief -- Econometric models. |
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Debt relief. |
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Debts, Public -- Econometric models.
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Debts, Public -- Econometric models. |
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Debts, Public. |
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Government securities -- Prices -- Econometric models.
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Government securities -- Prices. |
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Econometric models. |
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Government securities. |
Genre/Form |
Electronic books.
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Added Author |
Niepelt, Dirk, author.
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Ranciere, Romain, author.
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Other Form: |
Print version: Asonuma, Tamon. Sovereign Bond Prices, Haircuts and Maturity. Washington, D.C. : International Monetary Fund, ©2017 9781484301098 |
ISBN |
9781484301227 (electronic book) |
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1484301226 (electronic book) |
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1484301099 |
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9781484301098 |
ISSN |
1018-5941 |
Standard No. |
10.5089/9781484301098.001 |
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