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Author Asonuma, Tamon, author.

Title Sovereign Bond Prices, Haircuts and Maturity / by Tamon Asonuma, Dirk Niepelt and Romain Ranciere.

Publication Info. Washington, D.C. : International Monetary Fund, 2017.

Item Status

Description 1 online resource (38 pages).
data file
Series IMF working paper ; WP/17/119
IMF working paper ; WP/17/119.
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.
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.
Debt relief -- Econometric models.
Debt relief.
Debts, Public -- Econometric models.
Debts, Public -- Econometric models.
Debts, Public.
Government securities -- Prices -- Econometric models.
Government securities -- Prices.
Econometric models.
Government securities.
Genre/Form Electronic books.
Added Author Niepelt, Dirk, author.
Ranciere, Romain, author.
Other Form: Print version: Asonuma, Tamon. Sovereign Bond Prices, Haircuts and Maturity. Washington, D.C. : International Monetary Fund, ©2017 9781484301098
ISBN 9781484301227 (electronic book)
1484301226 (electronic book)
1484301099
9781484301098
ISSN 1018-5941
Standard No. 10.5089/9781484301098.001