Hidden Bibliographic Details
| Other authors / contributors: | Niepelt, Dirk, author.
Ranciere, Romain, author.
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| ISBN: | 9781484301227
1484301226
1484301099
9781484301098
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| Digital file characteristics: | data file
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| Notes: | Print version record.
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| Summary: | 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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| Other form: | Print version: Asonuma, Tamon. Sovereign Bond Prices, Haircuts and Maturity. Washington, D.C. : International Monetary Fund, ©2017 9781484301098
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| Standard no.: | 10.5089/9781484301098.001
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