| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13514 |
| DP13514 Sovereign Bonds since Waterloo | |
| Josefin Meyer; Carmen Reinhart; Christoph Trebesch | |
| 发表日期 | 2022-01-15 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | This paper studies external sovereign bonds as an asset class. We compile a new database of 266,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering up to 91 countries. Our main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ex-post returns average more than 6 percent annually across two centuries, including default episodes, major wars, and global crises. This represents an excess return of 3-4 percent above US or UK government bonds, which is comparable to stocks and outperforms corporate bonds. Central to this finding are the high average coupons offered on external sovereign bonds. The observed returns are hard to reconcile with canonical theoretical models and the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our archive of more than 300 sovereign debt restructurings since 1815, we show that full repudiation is rare; the median creditor loss (haircut) is below 50 percent. |
| 主题 | Economic History ; Financial Economics ; International Macroeconomics and Finance |
| 关键词 | Sovereign debt Default Risk premiums Investor returns Interest rates Portfolio Yields Coupons Recovery |
| URL | https://cepr.org/publications/dp13514-0 |
| 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/545831 |
| 推荐引用方式 GB/T 7714 | Josefin Meyer,Carmen Reinhart,Christoph Trebesch. DP13514 Sovereign Bonds since Waterloo. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
