000			03598cam a2200553Ki 4500
001			ocn989815577
003			OCoLC
005			20240829102440.0
006			m d
007			cr |n|---|||||
008			170610s2017 dcu o 000 0 eng d
040			_aEBLCP _beng _epn _cEBLCP _dYDX _dCUY _dMERUC _dOCLCQ _dWRM _dCEF _dOTZ _dN$T
019			_a989027407
020			_a9781484301227 _q(electronic bk.)
020			_a1484301226 _q(electronic bk.)
035			_a1529324 _b(N$T)
035			_a(OCoLC)989815577 _z(OCoLC)989027407
050		4	_aHG3891.5
072		7	_aBUS _x051000 _2bisacsh
082	0	4	_a336.3435 _223
049			_aMAIN
100	1		_aAsonuma, Tamon, _eauthor. _9688669
245	1	0	_aSovereign Bond Prices, Haircuts and Maturity / _cby Tamon Asonuma, Dirk Niepelt and Romain Ranciere.
260			_aWashington, D.C. : _bInternational Monetary Fund, _c2017.
300			_a1 online resource (38 pages)
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aIMF working paper ; _vWP/17/119
588	0		_aPrint version record.
505	0		_aCover; 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.
505	8		_aII. Haircuts / Recovery RatesIII. SZ Haircuts Robustness Check; IV. Bond Prices; V. Estimation of Term Structure of Default Risk; VI. Default Probability Term Structure.
520	3		_aRejecting 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.
590			_aMaster record variable field(s) change: 050, 072, 082
650		0	_aDebt relief _xEconometric models. _9860906
650		0	_aDebts, Public _xEconometric models. _9642695
650		0	_aGovernment securities _xPrices _xEconometric models. _9860907
650		7	_aBUSINESS & ECONOMICS / Public Finance. _2bisacsh _9785076
655		4	_aElectronic books. _9396
700	1		_aNiepelt, Dirk, _eauthor. _9860908
700	1		_aRanciere, Romain, _eauthor. _9860909
776	0	8	_iPrint version: _aAsonuma, Tamon. _tSovereign Bond Prices, Haircuts and Maturity. _dWashington, D.C. : International Monetary Fund, ©2017 _z9781484301098
830		0	_aIMF working paper ; _vWP/17/119.
856	4	0	_3EBSCOhost _uhttps://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=1529324
938			_aEBL - Ebook Library _bEBLB _nEBL4869520
938			_aYBP Library Services _bYANK _n14543817
938			_aEBSCOhost _bEBSC _n1529324
994			_a92 _bN$T
999			_c665257 _d665257