Niepelt, Dirk (September 2017). Sovereign Bond Prices, Haircuts and Maturity (Discussion Papers 17-03). Bern: Department of Economics
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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: |
Working Paper |
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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 |
Series: |
Discussion Papers |
Publisher: |
Department of Economics |
Language: |
English |
Submitter: |
Lars Tschannen |
Date Deposited: |
28 Dec 2020 08:40 |
Last Modified: |
05 Dec 2022 15:40 |
JEL Classification: |
F34, F41, H63 |
BORIS DOI: |
10.48350/145842 |
URI: |
https://boris.unibe.ch/id/eprint/145842 |
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