TY  - BOOK
AU  - Asonuma,Tamon
AU  - Niepelt,Dirk
AU  - Ranciere,Romain
TI  - Sovereign Bond Prices, Haircuts and Maturity
T2  - IMF working paper
SN  - 9781484301227
AV  - HG3891.5 
U1  - 336.3435 23
PY  - 2017///
CY  - Washington, D.C.
PB  - International Monetary Fund
KW  - Debt relief
KW  - Econometric models
KW  - Debts, Public
KW  - Government securities
KW  - Prices
KW  - BUSINESS & ECONOMICS / Public Finance
KW  - bisacsh
KW  - Electronic books
N1  - 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
N2  - 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
UR  - https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1529324
ER  -