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Sovereign Bond Prices, Haircuts and Maturity / by Tamon Asonuma, Dirk Niepelt and Romain Ranciere.

By: Contributor(s): Material type: TextTextSeries: IMF working paper ; WP/17/119.Publication details: Washington, D.C. : International Monetary Fund, 2017.Description: 1 online resource (38 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781484301227
  • 1484301226
Subject(s): Genre/Form: Additional physical formats: Print version:: Sovereign Bond Prices, Haircuts and Maturity.DDC classification:
  • 336.3435 23
LOC classification:
  • HG3891.5
Online resources:
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.
Abstract: 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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Print version record.

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.

Master record variable field(s) change: 050, 072, 082

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