| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23864 |
| 来源ID | Working Paper 23864 |
| Sovereign Bond Prices, Haircuts and Maturity | |
| Tamon Asonuma; Dirk Niepelt; Romain Rancière | |
| 发表日期 | 2017-10-02 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Public Economics ; National Fiscal Issues |
| URL | https://www.nber.org/papers/w23864 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581537 |
| 推荐引用方式 GB/T 7714 | Tamon Asonuma,Dirk Niepelt,Romain Rancière. Sovereign Bond Prices, Haircuts and Maturity. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23864.pdf（407KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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