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...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Asonuma, Tamon (Author), Niepelt, Dirk (Author), Ranciere, Romain (Author)
Format: Electronic eBook
Language:Inglés
Published: Washington, D.C. : International Monetary Fund, 2017.
Series:IMF working paper ; WP/17/119.
Subjects:
Debt relief > Econometric models.
Debts, Public > Econometric models.
Government securities > Prices > Econometric models.
Dettes publiques > Modèles économétriques.
Effets publics > Prix > Modèles économétriques.
BUSINESS & ECONOMICS > Public Finance.
Online Access:Texto completo
Table of Contents:
  • 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.
  • II. Haircuts / Recovery RatesIII. SZ Haircuts Robustness Check; IV. Bond Prices; V. Estimation of Term Structure of Default Risk; VI. Default Probability Term Structure.

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