| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12252 |
| DP12252 Sovereign Bond Prices, Haircuts and Maturity | |
| Romain Rancière; Tamon Asonuma | |
| 发表日期 | 2017-08-29 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Rejecting a common assumption in the sovereign debt literature, we document that cred- itor 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. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Sovereign debt Debt restructuring Bond pricing |
| URL | https://cepr.org/publications/dp12252 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541063 |
| 推荐引用方式 GB/T 7714 | Romain Rancière,Tamon Asonuma. DP12252 Sovereign Bond Prices, Haircuts and Maturity. 2017. |
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