Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266518 
Authors: 
Year of Publication: 
2022
Series/Report no.: 
Discussion Papers No. 22-13
Publisher: 
University of Bern, Department of Economics, Bern
Abstract: 
We document that creditor losses ("haircuts") during sovereign debt restructurings vary across debt maturity. In our novel dataset on instrument-specific haircuts suffered by private creditors in 1999-2020 we find larger losses on short- than long-term debt, independently of the specific haircut measure we use. A standard asset pricing model rationalizes our findings under two assumptions, both of which are satisfied in the data: increasing short-run restructuring risk in the run-up to a restructuring, and high exit yields. We relate our findings to the policy debate on restructuring procedures.
Subjects: 
Sovereign Debt
Sovereign Default
Debt Restructuring
Bond Prices
Haircuts
Maturity
Restructuring Probability
JEL: 
F34
F41
H63
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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