Asonuma, Tamon; Niepelt, Dirk; Ranciere, Romain (2023). Sovereign Bond Prices, Haircuts and Maturity. Journal of international economics, 140, p. 103689. Elsevier 10.1016/j.jinteco.2022.103689
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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.
Item Type: |
Journal Article (Original Article) |
|---|---|
Division/Institute: |
03 Faculty of Business, Economics and Social Sciences > Department of Economics |
UniBE Contributor: |
Niepelt, Dirk |
Subjects: |
300 Social sciences, sociology & anthropology > 330 Economics |
ISSN: |
0022-1996 |
Publisher: |
Elsevier |
Language: |
English |
Submitter: |
Julia Alexandra Schlosser |
Date Deposited: |
10 Nov 2022 15:13 |
Last Modified: |
03 Dec 2023 02:11 |
Publisher DOI: |
10.1016/j.jinteco.2022.103689 |
BORIS DOI: |
10.48350/174653 |
URI: |
https://boris.unibe.ch/id/eprint/174653 |
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