EconStor >
Rutgers University >
Department of Economics, Rutgers University >
Working Papers, Department of Economics, Rutgers University >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/31289
  
Title:Hope springs eternal : French bondholders and the Soviet repudiation (1915 - 1919) PDF Logo
Authors:Oosterlinck, Kim
Landon-Lane, John S.
Issue Date:2005
Series/Report no.:Working papers // Department of Economics, Rutgers, the State University of New Jersey 2005,13
Abstract:By their extreme nature, repudiations rarely occur. History is therefore crucial to analyze their impact on bond prices. This paper provides an empirical study based on an original database: prices of a Tsarist bond traded in Paris before and after its repudiation by the Soviets. A structural vector autoregression is used to identify shocks to this bond that are orthogonal to shocks hitting a proxy for the Paris bond market, the French 3% rente. French market shocks are thus disentangled from repudiation specific shocks hitting the Russian bond. Consistent with expectations no major Russian shocks appears before the 1917 revolution. For 1918, shocks are mainly related with bailouts or hopes of partial bailouts. In 1919, however, the nature of shocks changes as they can be explained either by the negotiations with the Soviets or by the fate of the White Armies. In view of these elements, we argue that the bonds’ value were subject to a “Peso problem”. Their prices essentially reflected expected extreme events that never took place.
Subjects:repudiation
sovereign debt
secession
Russia
Soviet
war
country break-up
JEL:F34
G1
N24
Document Type:Working Paper
Appears in Collections:Working Papers, Department of Economics, Rutgers University

Files in This Item:
File Description SizeFormat
508623375.pdf574.81 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/31289

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.