Sovereign vs. corporate debt and default: More similar than you think

• 成果类型: Article
• 署名作者: Gopinath, Gita; Meyer, Josefin; Reinhart, Carmen M.; Trebesch, Christoph
• 署名单位: International Monetary Fund; Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Harvard University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104082
• 发表日期: 2025
• 关键词: Sovereign debt and default; default risk; Corporate bonds; Corporate default; Junk bonds; Chapter 11; Crisis resolution

摘要

Theory suggests that corporate and sovereign bonds are fundamentally different, also because sovereign debt has no bankruptcy mechanism and is hard to enforce. We show empirically that the two assets are more similar than you think, at least when it comes to high-yield bonds over the past 20 years. We use rich new data to compare high-yield US corporate (junk) bonds to highyield emerging market sovereign bonds, 2002-2021. Investor experiences in these two asset classes were surprisingly aligned, with (i) similar average excess returns, (ii) similar average riskreturn patterns (Sharpe ratios), (iii) similar default frequency, and (iv) comparable haircuts. A notable difference is that the average default duration is higher for sovereigns. Moreover, the two markets co-move differently with domestic and global factors. US junk bond yields are more closely linked to US market conditions such as US stock returns, US stock price volatility (VIX), or US monetary policy.