The price of haircuts: private and official default

Silvia Marchesi and Tania Masi

No 460, Development Working Papers from Centro Studi Luca d'Agliano, University of Milano

Abstract: This paper studies the relationship between sovereign debt default and sovereign credit risk by taking into account the depth of a debt restructuring and by distinguishing between commercial and officialdebt. We take rating agencies as well as bond yield spreads(EMBIG)as measures of a countrys creditworthiness. Our results show that defaults with private creditors seem to involve some reputational costs up to seven years since the last agreement,while offcial defaulters may even benefit from the restructuring episodes.Therefore,we find evidence that official and private defaults may have different costs and then induces elective defaults.

Pages: 42
Date: 2020-02-06, Revised 2020-02-06
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: The Price of Haircuts: Private and Official Default (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:csl:devewp:460

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