G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16474
DP16474 Selective Default Expectations
Olivier Accominotti; Thilo Albers; Kim Oosterlinck
发表日期2021-08-20
出版年2021
语种英语
摘要Sovereign governments often discriminate between creditors during debt default episodes. This paper explores how expectations of selective default affect sovereign bond trading and sovereign risk premia based on a historical laboratory: the German external default of the 1930s. We exploit a unique feature of the interwar sovereign bond market: identical German government bonds were traded on different creditor countries’ secondary debt markets but investors expected creditors from various countries to be treated differently in case of default. We show that, when creditor countries’ secondary debt markets are integrated, selective default expectations are not reflected in bond yields but affect the volume of bonds traded across markets. By contrast, when creditors’ debt markets are geographically segmented, a large selective risk premium can be priced in sovereign bonds. This premium accounted for up to half of the total risk premium on German external bonds during the 1930s. We establish that creditor countries’ seniority ranks can be explained by their economic power over the debtor government.
主题Economic History ; Financial Economics ; International Macroeconomics and Finance
关键词Sovereign risk Debt default Secondary markets Creditor discrimination
URLhttps://cepr.org/publications/dp16474
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/545432
推荐引用方式
GB/T 7714
Olivier Accominotti,Thilo Albers,Kim Oosterlinck. DP16474 Selective Default Expectations. 2021.
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