Sovereign Bond Prices, Haircuts and Maturity /
Asonuma, Tamon,
Sovereign Bond Prices, Haircuts and Maturity / by Tamon Asonuma, Dirk Niepelt and Romain Ranciere. - Washington, D.C. : International Monetary Fund, 2017. - 1 online resource (38 pages) - IMF working paper ; WP/17/119 . - IMF working paper ; WP/17/119. .
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.
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.
9781484301227 1484301226
Debt relief--Econometric models.
Debts, Public--Econometric models.
Government securities--Prices--Econometric models.
BUSINESS & ECONOMICS / Public Finance.
Electronic books.
HG3891.5
336.3435
Sovereign Bond Prices, Haircuts and Maturity / by Tamon Asonuma, Dirk Niepelt and Romain Ranciere. - Washington, D.C. : International Monetary Fund, 2017. - 1 online resource (38 pages) - IMF working paper ; WP/17/119 . - IMF working paper ; WP/17/119. .
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.
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.
9781484301227 1484301226
Debt relief--Econometric models.
Debts, Public--Econometric models.
Government securities--Prices--Econometric models.
BUSINESS & ECONOMICS / Public Finance.
Electronic books.
HG3891.5
336.3435