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Sovereign Bond Prices, Haircuts and Maturity
| Content Provider | Scilit |
|---|---|
| Author | Asonuma, Tamon Niepelt, Dirk Ranciire, Romain G. |
| Copyright Year | 2017 |
| Description | Journal: SSRN Electronic Journal 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. |
| Related Links | http://www.nber.org/papers/w23864.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3034473 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3034473 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2017-08-29 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal History and Philosophy of Science |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |