EconPapers    
Economics at your fingertips  
 

Sovereign Bond Prices, Haircuts and Maturity

Tamon Asonuma (), Dirk Niepelt () and Romain Ranciere ()

No 23864, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: F34 F41 H63 (search for similar items in EconPapers)
Date: 2017-09
New Economics Papers: this item is included in nep-opm
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Published as Tamon Asonuma & Dirk Niepelt & Romain Ranciere, 2017. "Sovereign Bond Prices, Haircuts and Maturity," IMF Working Papers, vol 17(119).

Downloads: (external link)
http://www.nber.org/papers/w23864.pdf (application/pdf)

Related works:
Working Paper: Sovereign Bond Prices, Haircuts and Maturity (2017) Downloads
Working Paper: Sovereign Bond Prices, Haircuts and Maturity (2017) Downloads
Working Paper: Sovereign Bond Prices, Haircuts and Maturity (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:23864

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w23864

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-06-24
Handle: RePEc:nbr:nberwo:23864