SOVEREIGN DEBT RESTRUCTURINGS: PREEMPTIVE OR POST-DEFAULT

• 成果类型: Article
• 署名作者: Asonuma, Tamon; Trebesch, Christoph
• 署名单位: International Monetary Fund; University of Munich
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12156
• 发表日期: 2016
• 页码: 175-214
• 关键词: maturity

摘要

Sovereign debt restructurings can be implemented preemptivelyprior to a payment default. We code a comprehensive new data set and find that preemptive restructurings (i) are frequent (38% of all deals 1978-2010), (ii) have lower haircuts, (iii) are quicker to negotiate, and (iv) see lower output losses. To rationalize these stylized facts, we build a quantitative sovereign debt model that incorporates preemptive and post-default renegotiations. The model improves the fit with the data and explains the sovereign's optimal choice: preemptive restructurings occur when default risk is high ex ante, while defaults occur after unexpected bad shocks. Empirical evidence supports these predictions.