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Sovereign Bond Prices, Haircuts and Maturity /
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 priv...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2017.
|
| Colección: | IMF working paper ;
WP/17/119. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Asonuma, Tamon, |e author. | |
| 245 | 1 | 0 | |a Sovereign Bond Prices, Haircuts and Maturity / |c by Tamon Asonuma, Dirk Niepelt and Romain Ranciere. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c 2017. | ||
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| 490 | 1 | |a IMF working paper, |x 1018-5941 ; |v WP/17/119 | |
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Haircuts; A. Haircut Measures; B. Data; III. New Stylized Facts; A. Haircuts; B. Bond Prices; IV. The Model; A. Setup; B. First Result; C. Second Result; D. Interpretation; V. Default Probability Term Structure; VI. Conclusion; References; Figures; 1. SZ Recovery and Maturity; 2. Exchange Recovery and Maturity; 3. Bond Price Differentials; 4. Default Probability Term Structure; Tables; 1. Scope of Dataset; 2. Cross-sectional Regression Results; 3. Panel Regression Results; 4. Panel Regression Results; Appendices; I. Dataset: Selected Recent Restructurings. | |
| 505 | 8 | |a II. Haircuts / Recovery RatesIII. SZ Haircuts Robustness Check; IV. Bond Prices; V. Estimation of Term Structure of Default Risk; VI. Default Probability Term Structure. | |
| 520 | 3 | |a 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 | |
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| 650 | 0 | |a Debt relief |x Econometric models. | |
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| 650 | 0 | |a Government securities |x Prices |x Econometric models. | |
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| 650 | 6 | |a Effets publics |x Prix |x Modèles économétriques. | |
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| 700 | 1 | |a Niepelt, Dirk, |e author. | |
| 700 | 1 | |a Ranciere, Romain, |e author. | |
| 776 | 0 | 8 | |i Print version: |a Asonuma, Tamon. |t Sovereign Bond Prices, Haircuts and Maturity. |d Washington, D.C. : International Monetary Fund, ©2017 |z 9781484301098 |
| 830 | 0 | |a IMF working paper ; |v WP/17/119. | |
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