| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16474 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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