| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25543 |
| 来源ID | Working Paper 25543 |
| Sovereign Bonds since Waterloo | |
| Josefin Meyer; Carmen M. Reinhart; Christoph Trebesch | |
| 发表日期 | 2019-02-11 |
| 出版年 | 2019 |
| 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 | International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; History ; Macroeconomic History ; Financial History |
| URL | https://www.nber.org/papers/w25543 |
| 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/583216 |
| 推荐引用方式 GB/T 7714 | Josefin Meyer,Carmen M. Reinhart,Christoph Trebesch. Sovereign Bonds since Waterloo. 2019. |
| 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 | ||
| w25543.pdf（2372KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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