Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31289
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dc.contributor.authorOosterlinck, Kimen_US
dc.contributor.authorLandon-Lane, John S.en_US
dc.date.accessioned2006-03-08en_US
dc.date.accessioned2010-05-14T11:02:10Z-
dc.date.available2010-05-14T11:02:10Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/31289-
dc.description.abstractBy 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.en_US
dc.language.isoengen_US
dc.publisher|aDep. of Economics, Rutgers, the State Univ. of New Jersey |cNew Brunswick, NJen_US
dc.relation.ispartofseries|aWorking papers // Department of Economics, Rutgers, the State University of New Jersey |x2005,13en_US
dc.subject.jelF34en_US
dc.subject.jelG1en_US
dc.subject.jelN24en_US
dc.subject.ddc330en_US
dc.subject.keywordrepudiationen_US
dc.subject.keywordsovereign debten_US
dc.subject.keywordsecessionen_US
dc.subject.keywordRussiaen_US
dc.subject.keywordSovieten_US
dc.subject.keywordwaren_US
dc.subject.keywordcountry break-upen_US
dc.titleHope springs eternal : French bondholders and the Soviet repudiation (1915 - 1919)en_US
dc.type|aWorking Paperen_US
dc.identifier.ppn508623375en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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