Sovereign Bond Prices, Haircuts and Maturity

Dirk Niepelt

Diskussionsschriften from Universitaet Bern, Departement Volkswirtschaft

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)
JEL-codes: F34 F41 H63 (search for similar items in EconPapers)
Date: 2022-11
New Economics Papers: this item is included in nep-fmk and nep-opm
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Citations: View citations in EconPapers (1)

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https://repec.vwiit.ch/dp/dp2213.pdf (application/pdf)

Related works:
Journal Article: Sovereign bond prices, haircuts and maturity (2023)
Working Paper: Sovereign Bond Prices, Haircuts and Maturity (2017)
Working Paper: Sovereign Bond Prices, Haircuts and Maturity (2017)
Working Paper: Sovereign Bond Prices, Haircuts and Maturity (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ube:dpvwib:dp2213

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