 Sovereign bond prices, haircuts and maturityTamon Asonuma, Dirk Niepelt and Romain Ranciere Journal of International Economics, 2023, vol. 140, issue C Abstract: We document that creditor losses (“haircuts”) during sovereign debt restructurings vary across debt maturity. In our novel dataset on instrument-specific haircuts suffered by private creditors in 1999–2020 we find larger losses on short- than long-term debt, independently of the specific haircut measure we use. A standard asset pricing model rationalizes our findings under two assumptions, both of which are satisfied in the data: increasing short-run restructuring risk in the run-up to a restructuring, and high exit yields. We relate our findings to the policy debate on restructuring procedures. Keywords: Sovereign debt; Sovereign default; Debt restructuring; Bond prices; Haircuts; Maturity; Restructuring probability (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001210 DOI: 10.1016/j.jinteco.2022.103689 Access Statistics for this article Journal of International Economics is currently edited by Gourinchas, Pierre-Olivier and RodrÃguez-Clare, Andrés More articles in Journal of International Economics from Elsevier |
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