Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/204896 
Autor:innen: 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Discussion Papers No. 17-03
Verlag: 
University of Bern, Department of Economics, Bern
Zusammenfassung: 
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.
JEL: 
F34
F41
H63
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
426.12 kB





Publikationen in EconStor sind urheberrechtlich geschützt.